PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT

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

zbMATH Keywords

singular perturbationdrawdownstochastic voaltility

Mathematics Subject Classification ID

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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