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| Model Mertonovog skoka-difuzije× | Trgovanje parovima (statistička arbitraža)× | |
|---|---|---|
| Oblast | Finansije | Finansije |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1976 | 2006 |
| Tvorac≠ | Robert C. Merton | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) |
| Tip≠ | Continuous-time asset price model (diffusion plus Poisson jumps) | Cointegration-based mean-reversion trading strategy |
| Temeljni izvor≠ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ |
| Drugi nazivi≠ | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) |
| Srodne≠ | 4 | 5 |
| Sažetak≠ | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). |
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