Speed and duration of drawdown under general Markov models
In this study, the authors analyze the speed and duration of drawdown for 1D time-homogeneous Markov processes. The goal is to develop a computational method that is applicable to general models, whereas the existing papers only considered some specific classes of processes. To this end, the authors employ the method of continuous-time Markov chain (CTMC) approximation, which has proven to be powerful for solving various problems in applied probability under general Markov models.\N\NThe idea is to approximate the original Markov process living on a continuous state space by a CTMC, which lives on a discrete state space. The authors solve the problem for the CTMC and use the solution to approximate the solution of the original model. This approach has been taken to develop computationally efficient algorithms for various problems in applied probability and financial engineering. \NAs applications, pricing two financial options that provide protection against drawdown risk is considered. Finally, the accuracy and efficiency of the method through extensive numerical experiments are demonstrated.
- Pricing American drawdown options under Markov models
- A general method for analysis and valuation of drawdown risk
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- Drawdowns and the speed of market crash
- General drawdown of general tax model in a time-homogeneous Markov framework
- A general approach for lookback option pricing under Markov models
- A general framework for pricing Asian options under Markov processes
- A general method for analysis and valuation of drawdown risk
- A general valuation framework for SABR and stochastic local volatility models
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- A stopped Brownian motion formula
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes
- American Option Valuation under Continuous-Time Markov Chains
- Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Continuously monitored barrier options under Markov processes
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
- Drawdowns and the speed of market crash
- Drawdowns preceding rallies in the Brownian motion model
- Error analysis of finite difference and Markov chain approximations for option pricing
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
- Formulas for stopped diffusion processes with stopping times based on the maximum
- Magnitude and speed of consecutive market crashes in a diffusion model
- Markov chain approximation of one-dimensional sticky diffusions
- Markov chain approximations for transition densities of Lévy processes
- Maximum drawdown insurance
- Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
- Omega diffusion risk model with surplus-dependent tax and capital injections
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- On the drawdown of completely asymmetric Lévy processes
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- On the maximum drawdown of a Brownian motion
- Optimal stopping and early exercise: an eigenfunction expansion approach
- Option pricing in some non-Lévy jump models
- PDE methods for maximum drawdown
- Portfolio sensitivity to changes in the maximum and the maximum drawdown
- Pricing American drawdown options under Markov models
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Short proof of a discrete Gronwall inequality
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Stochastic modeling and fair valuation of drawdown insurance
- The Fourier-series method for inverting transforms of probability distributions
- The Variance Gamma Process and Option Pricing
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