Portfolio sensitivity to changes in the maximum and the maximum drawdown

DOI10.1080/14697680903008751zbMath1192.91184OpenAlexW2155847265MaRDI QIDQ3577150

Libor Pospisil, Jan Večeř

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903008751

zbMATH Keywords

derivatives pricingAsian optionsderivatives hedgingderivatives securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Robust hedging of the lookback option
• Equivalence of floating and fixed strike Asian and lookback options
• On the maximum drawdown of a Brownian motion