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Cites work
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Cited in
(26)- Magnitude and speed of consecutive market crashes in a diffusion model
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
- Characterization of large price variations in financial markets
- Stochastic modeling and fair valuation of drawdown insurance
- Optimal trading with a trailing stop
- Pricing American drawdown options under Markov models
- A direct solution method for pricing options involving the maximum process
- Slow boom, sudden crash
- Omega diffusion risk model with surplus-dependent tax and capital injections
- Maximum drawdown insurance
- Drawdowns preceding rallies in the Brownian motion model
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- The market for crash risk
- On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory
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