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Statistical arbitrage in the Black–Scholes framework
Ahmet Göncü
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Corresponding author for this work
Department of Finance
Bogazici University
Research output
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Contribution to journal
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Article
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peer-review
11
Citations (Scopus)
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Dive into the research topics of 'Statistical arbitrage in the Black–Scholes framework'. Together they form a unique fingerprint.
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Mathematics
Analytical Formula
50%
Arbitrage
100%
Arbitrage Opportunity
50%
Constraints
50%
Expected Value
50%
Free Rate
50%
Monte Carlo Simulation
50%
Probability Theory
50%
Sharpe Ratio
50%
Variance
50%
Economics, Econometrics and Finance
Arbitrage
100%
Loss
33%
Measure of Dispersion
33%
Monte Carlo Simulation
33%
Profit
33%
Stock
66%