Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment
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- Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276.
- Raphaël Douady & A.N. Shiryaev & Marc Yor, 2000. "On Probability Characteristics of "Downfalls" in a Standard Brownian Motion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477104, HAL.
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- Kyo Yamamoto & Akihiko Takahashi, 2009. "A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 333-345, December.
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