Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...
