On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift

DOI10.1016/j.cam.2013.01.010zbMath1270.91025OpenAlexW2105817428MaRDI QIDQ1946208

Craig L. Zirbel, Gábor J. Székely, Ceren Vardar-Acar

Publication date: 18 April 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.01.010

zbMATH Keywords

Brownian motion correlation coefficient Markov property uniform continuity stock prices scaling property

Mathematics Subject Classification ID

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