Leoni, Patrick Lucien - 2009
event would correspond to the activation of a stop-loss strat-
egy, thus a portfolio liquidation as described in Leoni [10 …-reversion intensities as before. This event
would correspond to the expected date where a stop-loss strategy would
be activated. We consider … Bonds and Currency Options,” Review of
Financial Studies 6, 327-343.
[7] Hull, J. (2006) Options, Futures and Other …