88 citations · 379 across the 20 of their papers we have counts for
20 papers
When to sell an asset amid anxiety about drawdowns
Neofytos Rodosthenous, Hongzhong Zhang
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best perfor…
On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
Mingsi Long, Hongzhong Zhang
In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of Lévy models with a continuous addit…
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy Models
Neofytos Rodosthenous, Hongzhong Zhang
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative Lévy models. The random time-horizon is modeled as the so-ca…
A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes
David Landriault, Bin Li, Hongzhong Zhang
Drawdown (resp. drawup) of a stochastic process, also referred as the reflected process at its supremum (resp. infimum), has wide applications in many areas including financial ris…
Optimal Trading with a Trailing Stop
Tim Leung, Hongzhong Zhang
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we st…
Asymptotics for rough stochastic volatility models
Martin Forde, Hongzhong Zhang
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion where the rate function is defined via the reproducing kernel Hilbert space, we compute…