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

DOI10.1142/S0219024910005796zbMATH Open1203.91299OpenAlexW2132198619MaRDI QIDQ3564997FDOQ3564997

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

Recommendations

• A general method for analysis and valuation of drawdown risk
• Pricing American drawdown options under Markov models
• Dynamic programming and mean‐variance hedging in discrete time
• Stochastic modeling and fair valuation of drawdown insurance
• Drawdowns and the speed of market crash

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)

Cites Work

• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On the maximum drawdown of a Brownian motion
• A remark on a singular perturbation method for option pricing under a stochastic volatility model
• Title not available (Why is that?)
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Risk based capital for guaranteed minimum withdrawal benefit
• PDE methods for maximum drawdown
• 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

This page was built for publication: Probability distribution and option pricing for drawdown in a stochastic volatility environment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3564997)