This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. We derive an analytical approximation formula for them by applying a singular perturbation method ([12]). Then, numerical examples show that the instantaneous correlation...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic di erential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The wellknown decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic dierential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise...

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...

The asymmetrical movement between the downward and upward phases of the sample paths of many financial time series has been commonly noted by economists. Since this feature cannot be described by the Autoregressive Integrated Moving-average (ARIMA) model and the Autoregressive Conditional...

The simultaneous switching autoregressive (SSAR) model is a non-linear Markovian time series model, which was originally introduced by Kunitomo and Sato (1996a). This paper gives some conditions for the geometrical ergodicity of the SSAR models and discuss the estimation methods of unknown...