38 citations · 76 across the 11 of their papers we have counts for
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math.PR2016
Watermark Options
Neofytos Rodosthenous, Mihail Zervos
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solu…
math.OC2016★ 11 cited
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…