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Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
Saved in:
2
Parisian options with jumps : a maturity-excursion randomization approach
Chesney, Marc
;
Vasiljević, Nikola
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1887-1908
Persistent link: https://www.econbiz.de/10012262861
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