Simulating Trades Under a Levy-Driven Mean-Reverting Framework
Monte Carlo simulation for pairs trading with jumps — theory & implementation
Published in
2 min readJan 21, 2024
We present a Monte Carlo framework for pairs trading on mean-reverting spreads modeled by Levy-driven Ornstein-Uhlenbeck processes. Specifically, we focus on using a variance gamma driving process, an infinite activity pure jump…
