An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion

DOI10.1007/s11009-017-9542-yzbMath1409.91232OpenAlexW2580157110MaRDI QIDQ1703026

Angelos Dassios, Jia Wei Lim

Publication date: 1 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9542-y

zbMATH Keywords

Monte Carlo simulationdrawdown stopping timemultiple drawdown options

Mathematics Subject Classification ID

Related Items (2)

DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ The arctangent law for a certain random time related to one-dimensional diffusions

Cites Work

• On magnitude, asymptotics and duration of drawdowns for Lévy models
• Perturbed Brownian motion and its application to Parisian option pricing
• A stopped Brownian motion formula
• Drawdowns and the speed of market crash
• Parisian Option Pricing: A Recursive Solution for the Density of the Parisian Stopping Time
• MAXIMUM DRAWDOWN INSURANCE
• Brownian Excursions and Parisian Barrier Options
• On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
• On the Frequency of Drawdowns for Brownian Motion Processes

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