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A variation of the Azéma martingale and drawdown options
Dassios, Angelos
;
Lim, Jia Wei
- In:
Mathematical Finance
29
(
2019
)
4
,
pp. 1116-1130
Persistent link: https://www.econbiz.de/10012095170
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2
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
Dassios, Angelos
;
Lim, Jia Wei
;
Qu, Yan
- In:
Mathematical Finance
30
(
2020
)
4
,
pp. 1497-1526
Persistent link: https://www.econbiz.de/10012283192
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