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Pricing American options time-capped by a drawdown event

Crossref DOI link: https://doi.org/10.1007/s11579-025-00408-z

Published Online: 2025-11-25

Published Print: 2026-03

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Palmowski, Zbigniew https://orcid.org/0000-0001-9257-1115
Stȩpniak, Paweł https://orcid.org/0000-0002-5024-4420
Funding

Funding for this research was provided by:

Narodowe Centrum Nauki (2021/41/B/HS4/00599)
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Text and Data Mining valid from 2025-11-25

Version of Record valid from 2025-11-25
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Article History

Received: 24 January 2025

Accepted: 1 November 2025

First Online: 25 November 2025