3 papers
q-fin.MF2025
Drawdowns, Drawups, and Occupation Times under General Markov Models
Pingping Zeng, Gongqiu Zhang, Weinan Zhang
Drawdown risk, an important metric in financial risk management, poses significant computational challenges due to its highly path-dependent nature. This paper proposes a unified f…
q-fin.MF2025
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
Yuhao Liu, Pingping Jiang, Gongqiu Zhang
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and l…
q-fin.CP2025
Pricing American Parisian Options under General Time-Inhomogeneous Markov Models
Yuhao Liu, Nian Yang, Gongqiu Zhang
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on…