Trading VIX futures under mean reversion with regime switching
Year of publication: |
September 2016
|
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Authors: | Li, Jiao |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 3, p. 1-20
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Subject: | Optimal stopping | mean reversion | futures trading | regime switching | variational inequality | Mean Reversion | Mean reversion | Theorie | Theory | Derivat | Derivative | Volatilität | Volatility | Markov-Kette | Markov chain |
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