Estimating fees for managed futures: a continuous-time model with a knockout feature

DOI10.1080/13504860010011163zbMath1013.91045OpenAlexW2156931709MaRDI QIDQ4541592

Francisca G.-C. Richter, B. Wade Brorsen

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860010011163

zbMATH Keywords

ruinhedge fundsincentive feemanaged futureshigh-water marks

Mathematics Subject Classification ID

Cites Work

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• Additional abscissas and weights for Gaussian quadratures of high order: Values for n=64, 80, and 96

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