A variation of the Azéma martingale and drawdown options

DOI10.1111/mafi.12202zbMath1428.91017OpenAlexW2890996743MaRDI QIDQ5204852

Angelos Dassios, Jia Wei Lim

Publication date: 5 December 2019

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

Full work available at URL: http://eprints.lse.ac.uk/90237/1/Dassios_Variation%20of%20Az%C3%A9ma%20martingale_2018.pdf

zbMATH Keywords

local timeBrownian excursionsAzéma martingaledrawdown durationdrawdown options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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