46 citations to https://www.mathnet.ru/rus/tvp594
  1. Gongqiu Zhang, Lingfei Li, “A general method for analysis and valuation of drawdown risk”, Journal of Economic Dynamics and Control, 152 (2023), 104669  crossref
  2. Brinker L.V., “Minimal Expected Time in Drawdown Through Investment For An Insurance Diffusion Model”, Risks, 9:1 (2021), 17  crossref  isi
  3. Zhang X., Li L., Zhang G., “Pricing American Drawdown Options Under Markov Models”, Eur. J. Oper. Res., 293:3 (2021), 1188–1205  crossref  isi
  4. Gongqiu Zhang, Lingfei Li, “A General Method for Analysis and Valuation of Drawdown Risk under Markov Models”, SSRN Journal, 2021  crossref
  5. Van Hemert O., Ganz M., Harvey C.R., Rattray S., Martin E.S., Yawitch D., “Drawdowns”, J. Portf. Manage., 46:8 (2020), 34–50  crossref  isi
  6. Otto van Hemert, Mark Ganz, Campbell R. Harvey, Sandy Rattray, Eva Sanchez Martin, Darrel Yawitch, “Drawdowns”, SSRN Journal, 2020  crossref
  7. Bai L., Liu P., “Drawdown and Drawup For Fractional Brownian Motion With Trend”, J. Theor. Probab., 32:3 (2019), 1581–1612  crossref  isi
  8. Dassios A., Lim J.W., “A Variation of the Azema Martingale and Drawdown Options”, Math. Financ., 29:4 (2019), 1116–1130  crossref  isi
  9. Gapeev V P., Rodosthenous N., Chinthalapati V.L.R., “On the Laplace Transforms of the First Hitting Times For Drawdowns and Drawups of Diffusion-Type Processes”, Risks, 7:3 (2019), 87  crossref  isi
  10. Muneer Shaik, S. Maheswaran, “Robust Volatility Estimation with and Without the Drift Parameter”, J. Quant. Econ., 17:1 (2019), 57  crossref
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