Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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References listed on IDEAS
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- Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
- 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.
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More about this item
KeywordsDiffusion process Drawdowns and drawups Stopping time;
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