FIRST PASSAGE TIMES FOR RISK-TRACKING PROXIES

DOI10.1142/S0219024905003128zbMath1139.91344OpenAlexW1981209449MaRDI QIDQ5462701

Victor E. Vaugirard

Publication date: 3 August 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003128

zbMATH Keywords

shadow pricetime changejump-diffusionHitting timesoft barrier

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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