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

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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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+Singular Perturbations for Boundary Value Problems Arising from Exotic Options
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+On the maximum drawdown of a Brownian motion
@@ Property / cites work: On the maximum drawdown of a Brownian motion / rank @@
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+PDE methods for maximum drawdown
@@ Property / cites work: PDE methods for maximum drawdown / rank @@
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+Risk based capital for guaranteed minimum withdrawal benefit
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+A remark on a singular perturbation method for option pricing under a stochastic volatility model
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