Copertina

Drawdowns, Drawups, and Occupation Times under General Markov Models

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Zeng, Pingping, Zhang, Gongqiu, Zhang, Weinan
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Mathematical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
di: Liu, Yuhao, et al.
Pubblicazione: (2025)

Pricing American Parisian Options under General Time-Inhomogeneous Markov Models
di: Liu, Yuhao, et al.
Pubblicazione: (2025)

Pricing American Options Time-Capped by a Drawdown Event
di: Palmowski, Zbigniew, et al.
Pubblicazione: (2025)

Markov Chain Approximation of One-Dimensional Sticky Diffusions
di: Meier, Christian, et al.
Pubblicazione: (2019)

Time-inconsistent mean field and n-agent games under relative performance criteria
di: Liang, Zongxia, et al.
Pubblicazione: (2023)

Time-Varying Factor-Augmented Models for Volatility Forecasting
di: Zhang, Duo, et al.
Pubblicazione: (2025)

Inspectable Neural Markov Models for Non-Stationary Time Series
di: Rovirosa, Jan, et al.
Pubblicazione: (2026)

Reinforcement Learning in Non-Markov Market-Making
di: Lalor, Luca, et al.
Pubblicazione: (2024)

Algorithmic and High-Frequency Trading Problems for Semi-Markov and Hawkes Jump-Diffusion Models
di: Lalor, Luca, et al.
Pubblicazione: (2024)

Optimal Annuitization Time under a Mortality Shock
di: Buttarazzi, Matteo
Pubblicazione: (2026)

Learning Time-Inhomogeneous Markov Dynamics in Financial Time Series via Neural Parameterization
di: Rovirosa, Jan, et al.
Pubblicazione: (2026)

Discrete-time asset price bubbles with short sales prohibitions under model uncertainty
di: Zhang, Wenqing
Pubblicazione: (2025)

Asset pricing under model uncertainty with discrete time and states
di: Yang, Shuzhen, et al.
Pubblicazione: (2024)

Equilibrium Policy on Dividend and Capital Injection under Time-inconsistent Preferences
di: Hu, Sang, et al.
Pubblicazione: (2025)

Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
di: Chen, Minshuo, et al.
Pubblicazione: (2025)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
di: Zhang, Wenxuan, et al.
Pubblicazione: (2026)

Scaling Limits for Exponential Hedging in Trinomial Models
di: Dolinsky, Yan, et al.
Pubblicazione: (2026)

Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
di: Tu, Yun-Feng, et al.
Pubblicazione: (2025)

Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
di: Li, Yuchen, et al.
Pubblicazione: (2022)

Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
di: Lalor, Luca, et al.
Pubblicazione: (2025)

Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
di: Golomoziy, Vitaliy, et al.
Pubblicazione: (2025)

Asian option valuation under price impact
di: Tiwari, Priyanshu, et al.
Pubblicazione: (2025)

Options Pricing under Bayesian MS-VAR Process
di: Gankhuu, Battulga
Pubblicazione: (2021)

Corporate debt value under transition scenario uncertainty
di: Theo Le Guenedal, et al.
Pubblicazione: (2024)

Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
di: Qiu, Jinniao, et al.
Pubblicazione: (2024)

Convex Order and Arbitrage
di: Zhang, Erica
Pubblicazione: (2025)

Irreversible investment under weighted discounting: effects of decreasing impatience
di: Wei, Pengyu, et al.
Pubblicazione: (2024)

On the implied volatility of Inverse options under stochastic volatility models
di: Alòs, Elisa, et al.
Pubblicazione: (2023)

Optimal hedging with variational preferences under convex risk measures
di: Righi, Marcelo
Pubblicazione: (2024)

On the implied volatility of Asian options under stochastic volatility models
di: Alòs, Elisa, et al.
Pubblicazione: (2022)

Optimal investment and consumption under logarithmic utility and uncertainty model
di: Faidi, Wahid
Pubblicazione: (2022)

Optimal stopping and divestment timing under scenario ambiguity and learning
di: Mazzon, Andrea, et al.
Pubblicazione: (2024)

Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
di: Kim, Young Shin, et al.
Pubblicazione: (2024)

Optimal post-retirement investment under longevity risk in collective funds
di: Armstrong, John, et al.
Pubblicazione: (2024)

Long Time Behavior of Optimal Liquidation Problems
di: Cheng, Xinman, et al.
Pubblicazione: (2024)

Robust utility maximisation under proportional transaction costs for càdlàg price processes
di: Czichowsky, Christoph, et al.
Pubblicazione: (2022)

Optimal Decisions for Liquid Staking: Allocation and Exit Timing
di: Ma, Ruofei, et al.
Pubblicazione: (2025)

Robust Pricing and Hedging of American Options in Continuous Time
di: Guo, Ivan, et al.
Pubblicazione: (2025)

Combined Mutiplicative-Heston Model for Stochastic Volatility
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2018)

Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market
di: Faidi, Wahid
Pubblicazione: (2025)