A variation of the Azéma martingale and drawdown options

DOI10.1111/MAFI.12202zbMATH Open1428.91017OpenAlexW2890996743MaRDI QIDQ5204852FDOQ5204852

Authors: Angelos Dassios, Jia Wei Lim Edit this on Wikidata

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

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zbMATH Keywords

local timeBrownian excursionsdrawdown durationAzéma martingaledrawdown options

Mathematics Subject Classification ID

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

Cited In (1)

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

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