8 citations · 8 across the 1 of their papers we have counts for
4 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…
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…
Optimal Control of Debt-to-GDP Ratio in an N-state Regime Switching Economy
Giorgio Ferrari, Neofytos Rodosthenous
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between states. This is motivated by the problem of a government that wants…
Perpetual American options in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depen…