#
Optimal closing of a pair trade with a model containing jumps
Journal article, 2013

Pairs trading

Ornstein-Uhlenbeck type process

error estimate

finite element method

optimal stopping

## Author

### Stig Larsson

Chalmers, Mathematical Sciences, Mathematics

University of Gothenburg

### CARL LINDBERG

Chalmers, Mathematical Sciences, Mathematical Statistics

University of Gothenburg

### Marcus M J Warfheimer

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

#### Applications of Mathematics

0862-7940 (ISSN)

Vol. 58 3 249-268### Roots

Basic sciences

### Subject Categories

Probability Theory and Statistics

### DOI

10.1007/s10492-013-0012-8