Optimal stop-loss rules in markets with long-range dependence

DOI10.1080/14697688.2024.2306830zbMath1542.91387MaRDI QIDQ6546316

Shi-Jie Deng, Yun Xiang

Publication date: 29 May 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

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