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Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

Citations

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Cited by:

  1. Hongzhong Zhang & Olympia Hadjiliadis, 2010. "Drawdowns and Rallies in a Finite Time-horizon," Methodology and Computing in Applied Probability, Springer, vol. 12(2), pages 293-308, June.
  2. Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
  3. Baurdoux, Erik J. & Palmowski, Z & Pistorius, Martijn R, 2017. "On future drawdowns of Lévy processes," LSE Research Online Documents on Economics 84342, London School of Economics and Political Science, LSE Library.
  4. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
  5. Zhang, Gongqiu & Li, Lingfei, 2023. "A general method for analysis and valuation of drawdown risk," Journal of Economic Dynamics and Control, Elsevier, vol. 152(C).
  6. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  7. Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions," Papers 1712.04418, arXiv.org, revised Feb 2018.
  8. Aleksandar Mijatovic & Martijn R. Pistorius, 2011. "On the drawdown of completely asymmetric Levy processes," Papers 1103.1460, arXiv.org, revised Sep 2012.
  9. Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
  10. James B. Glattfelder & Anton Golub, 2022. "Bridging the Gap: Decoding the Intrinsic Nature of Time in Market Data," Papers 2204.02682, arXiv.org.
  11. Grigory Temnov, 2015. "Analysis of Ornstein-Uhlenbeck process stopped at maximum drawdown and application to trading strategies with trailing stops," Papers 1507.01610, arXiv.org.
  12. Pavel V. Gapeev, 2022. "Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 749-788, June.
  13. Zhenyu Cui, 2014. "Omega risk model with tax," Papers 1403.7680, arXiv.org.
  14. Pavel V. Gapeev & Neofytos Rodosthenous & V. L. Raju Chinthalapati, 2019. "On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes," Risks, MDPI, vol. 7(3), pages 1-15, August.
  15. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
  16. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  17. Long Bai & Peng Liu, 2019. "Drawdown and Drawup for Fractional Brownian Motion with Trend," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1581-1612, September.
  18. Salminen, Paavo & Vallois, Pierre, 2020. "On the maximum increase and decrease of one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5592-5604.
  19. Zhenyu Cui & Duy Nguyen, 2018. "Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 117-135, March.
  20. Gapeev, Pavel V. & Rodosthenous, Neofytos & Chinthalapati, V.L Raju, 2019. "On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes," LSE Research Online Documents on Economics 101272, London School of Economics and Political Science, LSE Library.
  21. David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
  22. Mijatović, Aleksandar & Pistorius, Martijn R., 2012. "On the drawdown of completely asymmetric Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3812-3836.
  23. Gapeev, Pavel V. & Rodosthenous, Neofytos, 2016. "Perpetual American options in diffusion-type models with running maxima and drawdowns," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2038-2061.
  24. Baurdoux, E.J. & Palmowski, Z. & Pistorius, M.R., 2017. "On future drawdowns of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2679-2698.
  25. David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.
  26. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
  27. Hongzhong Zhang & Olympia Hadjiliadis, 2012. "Drawdowns and the Speed of Market Crash," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 739-752, September.
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