Trading Under the CIR Model

Tim Leung and Xin Li

Chapter 4 in Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications, 2016, pp 81-103 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this chapter, we study the problem of trading under the CIR model. We formulate an optimal double stopping problem and an optimal switching problem, and rigorously prove that the optimal starting and stopping strategies are of threshold type…

Keywords: Trading Strategies; Mean Reversion; Optimal Stopping; Optimal Switching; Stop-Loss; Stochastic Processes; Exchange-Traded Funds (ETFS); Ornstein–Uhlenbeck Model; Cox-Ingersoll-Ross (CIR) Model (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814725927_0004 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814725927_0004 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814725927_0004

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().