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Continuous-time stochastic mutual fund management game between active and passive funds
Han, Kai
;
Rong, Ximin
;
Shen, Yang
;
Zhao, Hui
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1647-1667
Persistent link: https://www.econbiz.de/10012653705
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Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
Wu, Lan
;
Zang, Xin
;
Zhao, Hongxin
- In:
Quantitative finance
20
(
2020
)
8
,
pp. 1285-1306
Persistent link: https://www.econbiz.de/10012262663
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