Probability distribution and option pricing for drawdown in a stochastic volatility environment

DOI10.1142/S0219024910005796MaRDI QIDQ3564997zbMATH OpenOpenAlexFDO

Authors Kyo Yamamoto, Seisho Sato, Akihiko Takahashi

Publication date 27 May 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024910005796

zbMATH Keywords

singular perturbationdrawdownstochastic voaltility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A remark on a singular perturbation method for option pricing under a stochastic volatility model
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• On the maximum drawdown of a Brownian motion
• PDE methods for maximum drawdown
• Risk based capital for guaranteed minimum withdrawal benefit
• Singular Perturbations for Boundary Value Problems Arising from Exotic Options

Cited in

(5)

• A remark on a singular perturbation method for option pricing under a stochastic volatility model
• Asymptotic expansion approach in finance
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Note on an extension of an asymptotic expansion scheme

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