Title: Trading the line strategy under fractional noise
Unlike Brownian motion fractional Brownian motion exhibits
long-range dependence. It has been argued
that financial asset prices seem to show long range dependency,
and thus fBm has been proposed as a more plausible model than
the ordinary Brownian motion for describing stock prices.
In this paper,
using the tools of Malliavin calculus,
we describe a method for finding the distribution of the exit
times of the popular trading the line strategy, also know as
the trailing stops strategy.
