Processes of Class Sigma, Last Passage Times, and Drawdowns
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Publication:4902213
DOI10.1137/09077878XzbMath1284.91542arXiv0910.5493OpenAlexW1990833943MaRDI QIDQ4902213
Eckhard Platen, Patrick Cheridito, Ashkan Nikeghbali
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.5493
last passage timesdrawdownsmaximum drawdownsoptions on running maximaprocesses of class Sigmarelative drawdowns
Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)
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