Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
From MaRDI portal
Publication:5246178
DOI10.1239/aap/1427814588zbMath1310.60114arXiv1304.8093OpenAlexW3104999188MaRDI QIDQ5246178
Publication date: 17 April 2015
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.8093
Related Items
On future drawdowns of Lévy processes ⋮ Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing ⋮ Omega diffusion risk model with surplus-dependent tax and capital injections ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ A direct solution method for pricing options involving the maximum process ⋮ Drawdown: from practice to theory and back again ⋮ On the drawdowns and drawups in diffusion-type models with running maxima and minima ⋮ A general method for analysis and valuation of drawdown risk ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ Sojourn times of Gaussian processes with trend ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Optimal trading with a trailing stop ⋮ On the last exit times for spectrally negative Lévy processes ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ Pricing American drawdown options under Markov models ⋮ Exit problems for general draw-down times of spectrally negative Lévy processes ⋮ Time reversal and last passage time of diffusions with applications to credit risk management ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the drawdown of completely asymmetric Lévy processes
- Occupation times of refracted Lévy processes
- The optimal dividend barrier in the gamma-omega model
- Occupation times of spectrally negative Lévy processes with applications
- On maximum increase and decrease of Brownian motion
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Formulas for stopped diffusion processes with stopping times based on the maximum
- Laplace transforms related to excursions of a one-dimensional diffusion
- Optimal stopping of the maximum process: The maximality principle
- The Russian option: Reduced regret
- Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
- Drawdowns and the speed of market crash
- The Omega model: from bankruptcy to occupation times in the red
- Stochastic modeling and fair valuation of drawdown insurance
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Hitting Times, Occupation Times, Trivariate Laws and the Forward Kolmogorov Equation for a One-Dimensional Diffusion with Memory
- Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
- Quickest Detection in Coupled Systems
- MAXIMUM DRAWDOWN INSURANCE
- Drawdowns preceding rallies in the Brownian motion model
- Quickest Detection
- PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- PDE methods for maximum drawdown
- Brownian Excursions and Parisian Barrier Options
- Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- On the maximum drawdown of a Brownian motion
- Processes of Class Sigma, Last Passage Times, and Drawdowns
- One Shot Schemes for Decentralized Quickest Change Detection
- The Joint Laplace Transforms for Diffusion Occupation Times
