Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al., 2000). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown

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Year of publication:	2010
Authors:	Yamamoto, Kyo
Other Persons:	Sato, Seisho (contributor) ; Takahashi, Akihiko (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Statistische Verteilung \| Statistical distribution \| Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Journal of Theoretical and Applied Finance (IJTAF), Vol. 13, No. 2, pp. 335-354, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2010 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013142489