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) 15729109 (eISSN)
Vol. 58 3 249-268Roots
Basic sciences
Subject Categories
Probability Theory and Statistics
DOI
10.1007/s10492-013-0012-8