A general method for analysis and valuation of drawdown risk
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Publication:6111436
DOI10.1016/J.JEDC.2023.104669zbMath1518.91268MaRDI QIDQ6111436
Publication date: 6 July 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15)
Related Items (4)
A general approach for lookback option pricing under Markov models ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Speed and duration of drawdown under general Markov models ⋮ Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
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