2 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.PR2015
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Wendong Zheng, Pingping Zeng
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing…