Cover Image

Pricing American options time-capped by a drawdown event in a Lévy market

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Palmowski, Zbigniew, Stȩpniak, Paweł
Format:	Preprint
Published:	2025
Subjects:	Probability Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pricing time-capped American options using Least Squares Monte Carlo method
by: Stȩpniak, Paweł, et al.
Published: (2025)

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

Subleading correction to the Asian options volatility in the Black-Scholes model
by: Pirjol, Dan
Published: (2024)

The second-order Esscher martingale densities for continuous-time market models
by: Choulli, Tahir, et al.
Published: (2024)

Conditional Non-Lattice Integration, Pricing and Superhedging
by: Bender, Christian, et al.
Published: (2021)

Risk-indifference Pricing of American-style Contingent Claims
by: Kumar, Rohini, et al.
Published: (2024)

On convergence of forecasts in prediction markets
by: Badulina, Nina, et al.
Published: (2024)

Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)

On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

On the structure of increasing profits in a 1D general diffusion market with interest rates
by: Anagnostakis, Alexis, et al.
Published: (2025)

A cross-border market model with limited transmission capacities
by: Milbradt, Cassandra, et al.
Published: (2022)

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
by: Choulli, T., et al.
Published: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)

Pricing American options with exogenous and endogenous transaction costs
by: Yan, Dong, et al.
Published: (2025)

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

Multi-period static hedging of European options
by: Banerjee, Purba, et al.
Published: (2023)

Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
by: Azze, Abel, et al.
Published: (2022)

Affine term structure models driven by independent Lévy processes
by: Barski, Michał, et al.
Published: (2024)

Maxima over random time intervals for heavy-tailed compound renewal and Lévy processes
by: Foss, Sergey, et al.
Published: (2023)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
by: Dolinsky, Yan
Published: (2025)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
by: Hiew, Joshua Zoen-Git, et al.
Published: (2023)

Time Deep Gradient Flow Method for pricing American options
by: Rou, Jasper
Published: (2025)

Constrained optimal stopping under a regime-switching model
by: Arai, Takuji, et al.
Published: (2022)

Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
by: Palmowski, Zbigniew, et al.
Published: (2023)

Real-world models for multiple term structures: a unifying HJM semimartingale framework
by: Fontana, Claudio, et al.
Published: (2024)

On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
by: Antipov, Viktor
Published: (2025)

Near-Maturity Asymptotics of Critical Prices of American Put Options under Exponential Lévy Models
by: Figueroa-López, José E., et al.
Published: (2025)

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

A discretization scheme for path-dependent FBSDEs and PDEs
by: Jang, Jiuk, et al.
Published: (2023)

Pricing options on the cryptocurrency futures contracts
by: Kończal, Julia
Published: (2025)

Local signature-based expansions
by: Bandi, Federico M., et al.
Published: (2025)

Martingale property and moment explosions in signature volatility models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Regularity of Solutions of Mean-Field $G$-SDEs
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2025)

Markovian projections for functionals of Itô semimartingales with jumps
by: Larsson, Martin, et al.
Published: (2025)

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Distortion risk measures of sums of two counter-monotonic risks
by: Huang, Chunle
Published: (2025)

Mean-Field SDEs driven by $G$-Brownian Motion
by: Bollweg, Karl-Wilhelm Georg, et al.
Published: (2024)

Multidimensional specific relative entropy between continuous martingales
by: Backhoff, Julio, et al.
Published: (2024)

Forward Performance Processes under Multiple Default Risks
by: Chong, Wing Fung, et al.
Published: (2026)