A variation of the Azéma martingale and drawdown options (Q5204852)
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scientific article; zbMATH DE number 7140543
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| English | A variation of the Azéma martingale and drawdown options |
scientific article; zbMATH DE number 7140543 |
Statements
A variation of the Azéma martingale and drawdown options (English)
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5 December 2019
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Azéma martingale
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Brownian excursions
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drawdown duration
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drawdown options
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local time
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0.79225075
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0.77980995
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