PDE methods for maximum drawdown

DOI10.21314/JCF.2008.177MaRDI QIDQ3622840zbMATH OpenOpenAlexFDO

Authors Libor Pospisil, Jan Vecer

Publication date 28 April 2009

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/jcf.2008.177

zbMATH Keywords

Black-Scholes modelDouglas-Rockford schememaximum drawdownPDEPeaceman-Rockford scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cited in

(11)

• Pricing American drawdown options under Markov models
• On the maximum increase and decrease of one-dimensional diffusions
• Omega diffusion risk model with surplus-dependent tax and capital injections
• Maximum drawdown insurance
• Probability distribution and option pricing for drawdown in a stochastic volatility environment
• Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• A general method for analysis and valuation of drawdown risk
• Speed and duration of drawdown under general Markov models
• Drawdowns, drawups, and occupation times under general Markov models
• Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies

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