A new class of nearly self-financing strategies

DOI10.1016/S0167-7152(01)00173-0zbMath1008.91052MaRDI QIDQ1612973

Donna Mary Salopek

Publication date: 5 September 2002

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

zbMATH Keywords

arbitrage\(p\)-variationself-financing\(\varepsilon\)-self-financingstop-loss start-gain strategy

Mathematics Subject Classification ID

Related Items (2)

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

Cites Work

• Tolerance to arbitrage
• Modelling of stock price changes: a real analysis approach
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