Statistical arbitrage with default and collateral
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References listed on IDEAS
- Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
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More about this item
KeywordsCollateral Statistical arbitrage Default;
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