Optimal closing of a pair trade with a model containing jumps
Preprint, 2010
Author
Stig Larsson
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematics
CARL LINDBERG
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematical Statistics
Marcus M J Warfheimer
Chalmers, Mathematical Sciences, Mathematics
University of Gothenburg
Subject Categories
Other Mathematics
Preprint - Department of Mathematical Sciences, Chalmers University of Technology and Göteborg University: 2010:22