PDE methods for maximum drawdown

DOI10.21314/JCF.2008.177zbMath1175.91200OpenAlexW2462232973MaRDI QIDQ3622840

Libor Pospisil, Jan Večeř

Publication date: 28 April 2009

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2008.177

zbMATH Keywords

PDEBlack-Scholes modelmaximum drawdownDouglas-Rockford schemePeaceman-Rockford scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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