On the drawdowns and drawups in diffusion-type models with running maxima and minima-Reference-Cited by-同舟云学术

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On the drawdowns and drawups in diffusion-type models with running maxima and minima

Published:2016-02 Issue:1 Volume:434 Page:413-431
ISSN:0022-247X
Container-title:Journal of Mathematical Analysis and Applications
language:en
Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Gapeev Pavel V.,Rodosthenous Neofytos

Funder

Suntory and Toyota International Centres for Economics and Related Disciplines

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference43 articles.

1. Applied Probability and Queues;Asmussen,2000

2. Matching marginal distributions of a semimartingale with a Markov process;Bentata;C. R. Acad. Sci. Paris, Ser. I,2009

3. Forward equations for option prices in semimartingales;Bentata;Finance Stoch.,2015

4. Point Processes and Queues: Martingale Dynamics;Brémaud,1981

5. Mimicking an Itô process by a solution of a stochastic differential equation;Brunick;Ann. Appl. Probab.,2013

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2. Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information;SIAM Journal on Financial Mathematics;2022-08-01

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4. Discounted optimal stopping problems in first-passage time models with random thresholds;Journal of Applied Probability;2022-06-27

5. Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes;Methodology and Computing in Applied Probability;2022-05-17

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