Pages that link to "Item:Q5246178"

The following pages link to Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions (Q5246178):

Displaying 21 items.

• The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175) (← links)
• Omega diffusion risk model with surplus-dependent tax and capital injections (Q320287) (← links)
• Time reversal and last passage time of diffusions with applications to credit risk management (Q784742) (← links)
• On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121) (← links)
• Drawdown: from practice to theory and back again (Q1679554) (← links)
• Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
• Stochastic modeling and fair valuation of drawdown insurance (Q2015656) (← links)
• Optimal trading with a trailing stop (Q2020306) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Exit problems for positive self-similar Markov processes with one-sided jumps (Q2091523) (← links)
• General draw-down times for refracted spectrally negative Lévy processes (Q2152244) (← links)
• Sojourn times of Gaussian processes with trend (Q2209315) (← links)
• Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
• On future drawdowns of Lévy processes (Q2360246) (← links)
• A direct solution method for pricing options involving the maximum process (Q2412388) (← links)
• On the last exit times for spectrally negative Lévy processes (Q4684866) (← links)
• A unified approach for drawdown (drawup) of time-homogeneous Markov processes (Q4684875) (← links)
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance (Q5087005) (← links)
• Exit problems for general draw-down times of spectrally negative Lévy processes (Q5226250) (← links)
• A general method for analysis and valuation of drawdown risk (Q6111436) (← links)