A variation of the Azéma martingale and drawdown options

DOI10.1111/MAFI.12202MaRDI QIDQ5204852zbMATH OpenOpenAlexFDO

Authors Angelos Dassios, Jia Wei Lim

Publication date 5 December 2019

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/90237/1/Dassios_Variation%20of%20Az%C3%A9ma%20martingale_2018.pdf

zbMATH Keywords

local timeBrownian excursionsdrawdown durationAzéma martingaledrawdown options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

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Cited in

(1)

• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation

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