Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
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 can be easily calculated if the first hitting time probability density … probability density of a mean-reverting process is approximately known, the profit model for energy futures price spreads is given …
