An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026)
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scientific article; zbMATH DE number 6845828
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion |
scientific article; zbMATH DE number 6845828 |
Statements
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (English)
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1 March 2018
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drawdown stopping time
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Monte Carlo simulation
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multiple drawdown options
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