| 题名 | Speed and duration of drawdown under general Markov models |
| 作者 | |
| 通讯作者 | Zhang, Gongqiu |
| 发表日期 | 2024-04-02
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| DOI | |
| 发表期刊 | |
| ISSN | 1469-7688
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| EISSN | 1469-7696
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| 卷号 | 24期号:3-4 |
| 摘要 | We propose an efficient computational method based on continuous-time Markov chain (CTMC) approximation to compute the distributions of the speed and duration of drawdown for general one-dimensional (1D) time-homogeneous Markov processes. We derive linear systems for the Laplace transforms of drawdown quantities and show how to solve them efficiently by recursion. In addition, we prove the convergence of our method and obtain a sharp estimate of the convergence rate under some assumptions. As applications, we consider pricing two financial options that provide protection against drawdown risk. Finally, we demonstrate the accuracy and efficiency of our method through extensive numerical experiments. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 其他
|
| 资助项目 | National Natural Science Foundation of China[12171408]
; Shenzhen Fundamental Research Program Project[JCYJ20190813165407555]
; Hong Kong Research Grant Council General Research Fund Grant[14207019]
; National Natural Science Foundation of China["11701266","12171228"]
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| WOS研究方向 | Business & Economics
; Mathematics
; Mathematical Methods In Social Sciences
|
| WOS类目 | Business, Finance
; Economics
; Mathematics, Interdisciplinary Applications
; Social Sciences, Mathematical Methods
|
| WOS记录号 | WOS:001207968300001
|
| 出版者 | |
| ESI学科分类 | ECONOMICS BUSINESS
|
| 来源库 | Web of Science
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| 引用统计 | |
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/788564 |
| 专题 | 理学院_数学系 |
| 作者单位 | 1.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Peoples R China 2.Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China 3.Chinese Univ Hong Kong, Sch Sci & Engn, Shenzhen, Peoples R China |
| 推荐引用方式 GB/T 7714 |
Li, Lingfei,Zeng, Pingping,Zhang, Gongqiu. Speed and duration of drawdown under general Markov models[J]. QUANTITATIVE FINANCE,2024,24(3-4).
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| APA |
Li, Lingfei,Zeng, Pingping,&Zhang, Gongqiu.(2024).Speed and duration of drawdown under general Markov models.QUANTITATIVE FINANCE,24(3-4).
|
| MLA |
Li, Lingfei,et al."Speed and duration of drawdown under general Markov models".QUANTITATIVE FINANCE 24.3-4(2024).
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| 条目包含的文件 | 条目无相关文件。 | |||||
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