Trading to Stops

DOI10.1137/130911706zbMath1329.60109OpenAlexW2010906939MaRDI QIDQ2940780

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

Laplace transformstopping timetransaction costsbarrierstrading stops

Mathematics Subject Classification ID

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

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