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 | |
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FullText.pdf | Embargoed until 21/02/2021 | 185 kB | Adobe PDF | View/Open |
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