Processes of Class Sigma, Last Passage Times, and Drawdowns
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Publication:4902213
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
last passage times; drawdowns; maximum drawdowns; options on running maxima; processes of class Sigma; relative drawdowns
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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