3 papers
q-fin.MF2018
Double continuation regions for American and Swing options with negative discount rate in Lévy models
Marzia De Donno, Zbigniew Palmowski, Joanna Tumilewicz
In this paper we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate which arises in a number of financial ap…
q-fin.PR2017
Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
Zbigniew Palmowski, Joanna Tumilewicz
In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative Lévy process. Draw…
q-fin.PR2017
Pricing insurance drawdown-type contracts with underlying Lévy assets
Zbigniew Palmowski, Joanna Tumilewicz
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric Lévy proce…