Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10010825965
We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the present value of the Brownian motion and its historical minimum, while the drawdown is defined as the difference of the historical maximum and its present value. This paper determines the probability...
Persistent link: https://www.econbiz.de/10009208211
In this paper we studyy arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependence in the payoff function. We also show...
Persistent link: https://www.econbiz.de/10009214985
In this article, we define new 'Greeks' for financial derivatives: sensitivities to the running maximum and the running maximum drawdown of an underlying asset. Some types of portfolios, such as the net asset value of a hedge fund or performance fees, are sensitive to these parameters. In order...
Persistent link: https://www.econbiz.de/10008675047