Speed and duration of drawdown under general Markov models

DOI10.1080/14697688.2024.2336154zbMATH Open1545.91328MaRDI QIDQ6576880

Pingping Zeng, Gongqiu Zhang, Lingfei Li

Publication date: 23 July 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20)

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