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- W4375862893 abstract "We discuss the dynamic mean-variance (MV) problem for pairs trading with the assumptions that one of the security prices satisfies a stochastic volatility model (SVM) and the corresponding price spread follows an Ornstein–Uhlenbeck (OU) process. We provide a semi-closed-form of the optimal strategy based on the solution of a PDE, which is difficult to solve explicitly. Thus, we assume that one of the security prices satisfies the Scott model, a fast-mean-reverting volatility model, and give a closed-form approximation for the optimal strategy. Empirical studies, by using historical data from Chinese security markets, show that the Scott model produces a more stable strategy by better capturing mean-reverting volatility." @default.
- W4375862893 created "2023-05-10" @default.
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- W4375862893 date "2023-05-06" @default.
- W4375862893 modified "2023-10-01" @default.
- W4375862893 title "Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model" @default.
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- W4375862893 doi "https://doi.org/10.3390/math11092191" @default.
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