Pricing American drawdown options under Markov models

Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

(2019) Zhuo Jin et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

(2018) Zhenyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

A General Valuation Framework for SABR and Stochastic Local Volatility Models

(2018) Zhenyu Cui et al.   SIAM Journal on Financial Mathematics

A general framework for time-changed Markov processes and applications

(2018) Zhenyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

(2017) Zhenyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

A unified approach for drawdown (drawup) of time-homogeneous Markov processes

(2017) David Landriault et al.   JOURNAL OF APPLIED PROBABILITY

Error analysis of finite difference and Markov chain approximations for option pricing

(2017) Lingfei Li et al.   MATHEMATICAL FINANCE

Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model

(2017) Zhenyu Cui et al.   METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

Watermark options

(2016) Neofytos Rodosthenous et al.   FINANCE AND STOCHASTICS

Perpetual American options in diffusion-type models with running maxima and drawdowns

(2016) Pavel V. Gapeev et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

American Option Valuation under Continuous-Time Markov Chains

(2015) B. Eriksson et al.   ADVANCES IN APPLIED PROBABILITY

Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions

(2015) Hongzhong Zhang   ADVANCES IN APPLIED PROBABILITY

A General Framework for Pricing Asian Options Under Markov Processes

(2015) Ning Cai et al.   OPERATIONS RESEARCH

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

(2013) Lingfei Li et al.   OPERATIONS RESEARCH

On the drawdown of completely asymmetric Lévy processes

(2012) Aleksandar Mijatović et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

American option prices in a Markov chain market model

(2011) John van der Hoek et al.   APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

(2011) Aleksandar Mijatović et al.   MATHEMATICAL FINANCE

Drawdowns and the Speed of Market Crash

(2011) Hongzhong Zhang et al.   METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

Drawdowns and Rallies in a Finite Time-horizon

(2009) Hongzhong Zhang et al.   METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

(2009) Libor Pospisil et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

(2008) Liming Feng et al.   MATHEMATICAL FINANCE