2 papers
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.PR2014
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Pavel V. Gapeev, Neofytos Rodosthenous
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates…