PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT
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Publication:3564997
DOI10.1142/S0219024910005796zbMath1203.91299OpenAlexW2132198619MaRDI QIDQ3564997
Kyo Yamamoto, Akihiko Takahashi, Seisho Sato
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
Stochastic models in economics (91B70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Asymptotic Expansion Approach in Finance ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ A remark on a singular perturbation method for option pricing under a stochastic volatility model ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
Cites Work
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- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- PDE methods for maximum drawdown
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Risk based capital for guaranteed minimum withdrawal benefit
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- On the maximum drawdown of a Brownian motion
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
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