Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

DOI10.1016/j.spa.2009.01.002zbMath1167.91374OpenAlexW2104089070MaRDI QIDQ2270885

Olympia Hadjiliadis, Libor Pospisil, Jan Večeř

Publication date: 29 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.01.002

zbMATH Keywords

stopping timediffusion processdrawdowns and drawups

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (23)

On future drawdowns of Lévy processes ⋮ Perpetual American options in diffusion-type models with running maxima and drawdowns ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Drawdown: from practice to theory and back again ⋮ Drawdowns and the speed of market crash ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ MAXIMUM DRAWDOWN INSURANCE ⋮ Drawdown risk measures for asset portfolios with high frequency data ⋮ A general method for analysis and valuation of drawdown risk ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ An econometric analysis of drawdown based measures ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ On the drawdown of completely asymmetric Lévy processes ⋮ Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions ⋮ Bayesian Quickest Detection Problems for Some Diffusion Processes ⋮ Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ Pricing American drawdown options under Markov models ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On maximum increase and decrease of Brownian motion
• A class of remarkable submartingales
• A stopped Brownian motion formula
• Formulas for stopped diffusion processes with stopping times based on the maximum
• On the Markov Chain Approach to the Two-Sided CUSUM Procedure
• Drawdowns preceding rallies in the Brownian motion model
• Distributional Properties of CUSUM Stopping Times
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On the maximum drawdown of a Brownian motion
• Optimal and Asymptotically Optimal CUSUM Rules for Change Point Detection in the Brownian Motion Model with Multiple Alternatives

This page was built for publication: Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups