English, Article, Journal or magazine article edition: "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment" Kyo Yamamoto; Seisho Sato; Akihiko Takahashi

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Bookmark: http://trove.nla.gov.au/version/6667
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment"
Author
  • Kyo Yamamoto
  • Seisho Sato
  • Akihiko Takahashi
Physical Description
  • preprint
Notes
  • This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.
  • RePEc:tky:fseres:2009cf625
Language
  • English
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