Toshikazu Kimura, “American Fractional Lookback Options: Valuation and Premium Decomposition”, SIAM J. Appl. Math., 71, no. 2, 2011, 517
Cloud Makasu, “A SHARP MAXIMAL INEQUALITY FOR A GEOMETRIC BROWNIAN MOTION”, Taiwanese J. Math., 19, no. 2, 2015
Soukaina Douissi, Khalifa Es-Sebaiy, Fatimah Alshahrani, Frederi G. Viens, “AR(1) processes driven by second-chaos white noise: Berry–Esséen bounds for quadratic variation and parameter estimation”, Stochastic Processes and their Applications, 150, 2022, 886
Gongqiu Zhang, Lingfei Li, “A general method for analysis and valuation of drawdown risk”, Journal of Economic Dynamics and Control, 152, 2023, 104669
E. J. Baurdoux, A. E. Kyprianou, “The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process”, Theory Probab. Appl., 53, no. 3, 2009, 481
Atsuo Suzuki, Katsushige Sawaki, “Game Russian Options for Double Exponential Jump Diffusion Processes”, JMF, 04, no. 01, 2014, 47
David Landriault, Bin Li, Shu Li, “Analysis of a drawdown-based regime-switching Lévy insurance model”, Insurance: Mathematics and Economics, 60, 2015, 98
Vadim I. Arkin, Alexander D. Slastnikov, From Stochastic Calculus to Mathematical Finance, 2006, 17
David Landriault, Bin Li, Mohamed Amine Lkabous, “On the analysis of deep drawdowns for the Lévy insurance risk model”, Insurance: Mathematics and Economics, 100, 2021, 147
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen, “Processes of Class Sigma, Last Passage Times, and Drawdowns”, SIAM J. Finan. Math., 3, no. 1, 2012, 280