A new class of nearly self-financing strategies

DOI10.1016/S0167-7152(01)00173-0MaRDI QIDQ1612973zbMATH OpenFDO

Authors Donna Mary Salopek

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

self-financingarbitrage\(p\)-variation\(\varepsilon\)-self-financingstop-loss start-gain strategy

Mathematics Subject Classification ID

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3182326 (Why is no real title available?)
• Modelling of stock price changes: a real analysis approach
• Tolerance to arbitrage

Cited in

(2)

• AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY
• Weighted Local Time for Fractional Brownian Motion and Applications to Finance

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