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