On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation

Annals of Probability 2012, Vol. 40, No. 1, 372-400 We study the class of Az\'ema-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the Bachelier stochastic differential equation which we prove is...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Carraro, Laurent, Karoui, Nicole El, Obłój, Jan
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Quantitative Finance - Pricing of Securities
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!