PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q3564997): Difference between revisions

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Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank
 
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Property / cites work
 
Property / cites work: Q4509488 / rank
 
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Property / cites work: OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS / rank
 
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Property / cites work: Singular Perturbations for Boundary Value Problems Arising from Exotic Options / rank
 
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Property / cites work: On the maximum drawdown of a Brownian motion / rank
 
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Property / cites work: A remark on a singular perturbation method for option pricing under a stochastic volatility model / rank
 
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Property / full work available at URL: https://doi.org/10.1142/s0219024910005796 / rank
 
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Property / OpenAlex ID: W2132198619 / rank
 
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Latest revision as of 11:13, 30 July 2024

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PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT
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