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

DOI10.1016/j.jmaa.2015.09.013zbMath1329.60229OpenAlexW2158983183MaRDI QIDQ890509

Neofytos Rodosthenous, Pavel V. Gapeev

Publication date: 10 November 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.09.013

zbMATH Keywords

Laplace transformsboundary-value problemsnormal reflectiondiffusion-type processesrunning maximum and minimum processesrunning maximum drawdown and maximum drawup processes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (7)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions ⋮ Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds ⋮ Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs

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