Optimal trading with a trailing stop
From MaRDI portal
Publication:2020306
DOI10.1007/s00245-019-09559-0zbMath1471.91545arXiv1701.03960OpenAlexW2949744683MaRDI QIDQ2020306
Publication date: 23 April 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.03960
Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Financial markets (91G15)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Recursive algorithms for trailing stop: Stochastic approximation approach
- Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
- On the excursion theory for linear diffusions
- Formulas for stopped diffusion processes with stopping times based on the maximum
- The Russian option: Reduced regret
- Numerical and asymptotic aspects of parabolic cylinder functions
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Drawdowns and the speed of market crash
- A direct solution method for pricing options involving the maximum process
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
- Trading a mean-reverting asset: buy low and sell high
- A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies
- On the optimal stopping problem for one-dimensional diffusions.
- BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
- Trading to Stops
- Trend Following Trading under a Regime Switching Model
- Optimal starting–stopping and switching of a CIR process with fixed costs
- Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Trading Securities Using Trailing Stops
- Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal Timing to Purchase Options
- American step-up and step-down default swaps under Lévy models
