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Title: A variation of the Azéma martingale and drawdown options
Authors: Dassios, A
Lim, JW
Keywords: Drawdown duration,;Brownian excursions,;Local time,;Azéma martingale,;Drawdown option
Issue Date: 28-Feb-2019
Publisher: Wiley
Citation: Mathematical Finance
ISSN: 0960-1627
Appears in Collections:Mathematical Sciences

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