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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/18757| 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 |
| URI: | http://bura.brunel.ac.uk/handle/2438/18757 |
| DOI: | http://dx.doi.org/10.1111/mafi.12202 |
| ISSN: | 0960-1627 http://dx.doi.org/10.1111/mafi.12202 http://dx.doi.org/10.1111/mafi.12202 |
| Appears in Collections: | Mathematical Sciences |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Embargoed until 21/02/2021 | 185 kB | Adobe PDF | View/Open |
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