Skip to main navigation
Skip to search
Skip to main content
Istanbul Technical University Home
English
Türkçe
Home
Profiles
Research units
Projects
Research output
Prizes
Student theses
Press/Media
Search by expertise, name or affiliation
Statistical arbitrage in the Black–Scholes framework
Ahmet Göncü
*
*
Corresponding author for this work
Xi'an Jiaotong-Liverpool University
Bogazici University
Research output
:
Contribution to journal
›
Article
›
peer-review
11
Citations (Scopus)
Overview
Fingerprint
Fingerprint
Dive into the research topics of 'Statistical arbitrage in the Black–Scholes framework'. Together they form a unique fingerprint.
Sort by
Weight
Alphabetically
Keyphrases
Statistical Arbitrage
100%
Monte Carlo Simulation
33%
Trading Strategy
33%
Analytical Formula
33%
Sharpe Ratio
33%
Expected Probability
33%
Risk-free Rate
33%
Arbitrage Conditions
33%
Loss Probability
33%
Arbitrage Opportunity
33%
Trading Profits
33%
Anticipated Variance
33%
Mathematics
Arbitrage
100%
Variance
50%
Monte Carlo
50%
Analytical Formula
50%
Sharpe Ratio
50%
Arbitrage Opportunity
50%
Free Rate
50%
Economics, Econometrics and Finance
Arbitrage
100%
Monte Carlo Simulation
33%
Physics
Monte Carlo Method
100%
Computer Science
Monte Carlo Simulation
100%