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The value of drawdown contract í µí±(í µí±¦, í µí±) with respect to the starting position of drawdown í µí±¦, for process í µí± with parameters í µí± = 0.05, í µí¼ = 0.4, í µí»½ = 0.1 and with jumps from Erlang distribution Erl(2,4). Parameters: free interest rate í µí± = 0.01, drawdown level í µí± = 10, reward í µí»¼ = 100, premium í µí± = 1.4. Source: own work.
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