Processes of Class Sigma, Last Passage Times, and Drawdowns

DOI10.1137/09077878XzbMath1284.91542arXiv0910.5493MaRDI QIDQ4902213

Eckhard Platen, Patrick Cheridito, Ashkan Nikeghbali

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5493

zbMATH Keywords

last passage times; drawdowns; maximum drawdowns; options on running maxima; processes of class Sigma; relative drawdowns

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60G07: General theory of stochastic processes

91G20: Derivative securities (option pricing, hedging, etc.)

60H05: Stochastic integrals

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