Tootfinder

Pricing American Options Time-Capped by a Drawdown Event
Zbigniew Palmowski, Pawe{\l} St\c{e}pniak
https://arxiv.org/abs/2509.00999 https://arxiv.org/pdf/2…

Pricing American Options Time-Capped by a Drawdown Event
This paper presents a derivation of the explicit price for the perpetual American put option in the Black-Scholes model, time-capped by the first drawdown epoch beyond a predefined level. We demonstrate that the optimal exercise strategy involves executing the option when the asset price first falls below a specified threshold. The proof relies on martingale arguments and the fluctuation theory of Lévy processes. To complement the theoretical findings, we provide numerical analysis.

Pricing American options time-capped by a drawdown even in a L\'evy market
Zbigniew Palmowski, Pawe{\l} St\c{e}pniak
https://arxiv.org/abs/2508.20677 https://

Pricing American options time-capped by a drawdown even in a Lévy market
This paper presents a derivation of the explicit price for the perpetual American put option time-capped by the first drawdown epoch beyond a predefined level. We consider the market in which an asset price is described by geometric Lévy process with downward exponential jumps. We show that the optimal stopping rule is the first time when the asset price gets below a special value. The proof relies on martingale arguments and the fluctuation theory of Lévy processes. We also provide a numeric…

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Good job now peertube looks shit on mobile devices.
I need to call ublock origin to make it usable. Make these element go away if I don't click them after sometime or make them smaller.
Open in app ? Seriously?
@… #peertube

A 4% withdrawal rate for retirement spending, derived from a discrete-time model of stochastic returns on assets
Drew M. Thomas
https://arxiv.org/abs/2508.10273 https://

A 4% withdrawal rate for retirement spending, derived from a discrete-time model of stochastic returns on assets
What grounds the rule of thumb that a(n American) retiree can safely withdraw 4% of their initial retirement wealth in their first year of retirement, then increase that rate of consumption with inflation? I investigate that question with a discrete-time model of returns to a retirement portfolio consumed at a rate that grows by $s$ per period. The model hinges on the parameter $γ$, an $s$-adjusted rate of return to wealth, derived from the first 2-4 moments of the portfolio's probability dist…

Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options
Srisht Fateh Singh, Reina Ke Xin Li, Samuel Gaskin, Yuntao Wu, Jeffrey Klinck, Panagiotis Michalopoulos, Zissis Poulos, Andreas Veneris
https://arxiv.org/abs/2508.02971

Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options
This paper mathematically models a constant-function automated market maker (CFAMM) position as a portfolio of exotic options, known as perpetual American continuous-installment (CI) options. This model replicates an AMM position's delta at each point in time over an infinite time horizon, thus taking into account the perpetual nature and optionality to withdraw of liquidity provision. This framework yields two key theoretical results: (a) It proves that the AMM's adverse-selection cost, loss-v…