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Persistent link: https://www.econbiz.de/10011923058
We study the problem of dynamically trading a pair of futures contracts. We consider a two-factor mean-reverting model, where the spot price tends to evolve around its stochastic equilibrium that is also mean-reverting. We derive the futures price dynamics and determine the optimal futures...
Persistent link: https://www.econbiz.de/10012898542