Trading to stops

DOI10.1137/130911706MaRDI QIDQ2940780zbMATH OpenOpenAlexFDO

Authors Nora Imkeller, L. C. G. Rogers

Publication date 20 January 2015

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/e769cfcdc8c3c88e3b93033af4dbbd434f9e7eba

zbMATH Keywords

barriersLaplace transformstopping timetrading stopstransaction costs

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Trade models (91B60) Portfolio theory (91G10)

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