Speed and duration of drawdown under general Markov models

Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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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