On the drawdown of completely asymmetric Lévy processes
The drawdown process Y of a completely asymmetric Lévy process X is equal to X reflected at its running supremum X¯: Y=X¯−X. In this paper we explicitly express in terms of the scale function and the Lévy measure of X the law of the sextuple of the first-passage time of Y over the level a>0, the time G¯τa of the last supremum of X prior to τa, the infimum X¯τa and supremum X¯τa of X at τa and the undershoot a−Yτa− and overshoot Yτa−a of Y at τa. As application we obtain explicit expressions for the laws of a number of functionals of drawdowns and rallies in a completely asymmetric exponential Lévy model.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 122 (2012)
Issue (Month): 11 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter Carr & Liuren Wu, 2003.
"The Finite Moment Log Stable Process and Option Pricing,"
Journal of Finance,
American Finance Association, vol. 58(2), pages 753-778, 04.
- Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA.
- Olympia Hadjiliadis & Jan Vecer, 2006. "Drawdowns preceding rallies in the Brownian motion model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 403-409.
- Foort Hamelink & Martin Hoesli, 2004. "Maximum drawdown and the allocation to real estate," Journal of Property Research, Taylor & Francis Journals, vol. 21(1), pages 5-29, January.
- Foort HAMELINK & Martin HOESLI, 2003. "Maximum Drawdown and the Allocation to Real Estate," FAME Research Paper Series rp87, International Center for Financial Asset Management and Engineering.
- Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin, 2005. "Drawdown Measure In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 13-58.
- Pospisil, Libor & Vecer, Jan & Hadjiliadis, Olympia, 2009. "Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2563-2578, August. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:11:p:3812-3836. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.