Pairs trading under a mean reversion model with regime switching

Author:

Crawford Das Emily, ,Thanh Luu Phong,Tie Jingzhi,Zhang Qing,

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Algebra and Number Theory,General Medicine

Reference23 articles.

1. Special Functions

2.

C. Blanco and D. Soronow, Mean reverting processes – Energy price processes used for derivatives pricing and risk management, Commodities Now, 68-72, June 2001.

3. On a semi-spectral method for pricing an option on a mean-reverting asset

4. Trend Following Trading under a Regime Switching Model

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