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Old problems, classical methods, new solutions
Lipton, Alexander - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-37
Persistent link: https://www.econbiz.de/10012284595
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A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
Lipton, Alexander; López de Prado, Marcos M. - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10012496922
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On the first hitting time density for a reducible diffusion process
Lipton, Alexander; Kaushansky, Vadim - In: Quantitative finance 20 (2020) 5, pp. 723-743
Persistent link: https://www.econbiz.de/10012262616