Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions

DOI10.1007/S00245-018-9492-YzbMath1436.91112arXiv1712.04418OpenAlexW2962994265MaRDI QIDQ1987324

Zbigniew Palmowski, Joanna Tumilewicz

Publication date: 14 April 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.04418

zbMATH Keywords

optimal stoppingLévy processdrawdowninsurance contractfair valuationdrawup

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

Cites Work

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• MAXIMUM DRAWDOWN INSURANCE
• Portfolio sensitivity to changes in the maximum and the maximum drawdown
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• A Note on a Change of Variable Formula with Local Time-Space for Lévy Processes of Bounded Variation
• ON THE AMERICAN OPTION PROBLEM

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