Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks 7 (2019) 3, pp. 1-15
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...