Optimal closing of a pair trade with a model containing jumps

Applications of Mathematics

Volumn 58, Issue 3, 2013, Pages 249-268

  Larsson, Stig ^a   Lindberg, Carl ^a   Warfheimer, Marcus ^a  

^a CHALMERS UNIVERSITY OF TECHNOLOGY   (Sweden)

Author keywords

error estimate; finite element method; optimal stopping; Ornstein Uhlenbeck type process; pairs trading

Indexed keywords

CONDITION FOR OPTIMALITY; ERROR ESTIMATES; EXISTENCE AND UNIQUENESS; FREE-BOUNDARY PROBLEMS; OPTIMAL STOPPING; ORNSTEIN-UHLENBECK PROCESS; ORNSTEIN-UHLENBECK TYPE PROCESS; PAIRS TRADING;

FINITE ELEMENT METHOD; INTEGRODIFFERENTIAL EQUATIONS; OPTIMIZATION;

COMMERCE;

EID: 84879302752     PISSN: 08627940     EISSN: 15729109     Source Type: Journal    
DOI: 10.1007/s10492-013-0012-8     Document Type: Article

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