Optimal convergence trading with unobservable pricing errors
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-020-03647-z.pdf
Reference34 articles.
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2. Altay, S., Colaneri, K., & Eksi, Z. (2018). Pairs trading under drift uncertainty and risk penalization. International Journal of Theoretical and Applied Finance, 21(07), 1850046.
3. Angoshtari, B. (2016). On the market-neutrality of optimal pairs-trading strategies. Available at SSRN: https://ssrn.com/abstract=2831836.
4. Bain, A., & Crisan, D. (2009). Fundamentals of stochastic filtering (Vol. 3). Berlin: Springer.
5. Baran, N. A., Yin, G., & Zhu, C. (2013). Feynman–Kac formula for switching diffusions: Connections of systems of partial differential equations and stochastic differential equations. Advances in Difference Equations, 2013(1), 315.
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