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http://bura.brunel.ac.uk/handle/2438/18756| Title: | An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion |
| Authors: | Dassios, A Lim, JW |
| Keywords: | Drawdown stopping time,;Monte Carlo simulation,;multiple drawdown options |
| Issue Date: | 25-Jan-2017 |
| Publisher: | Springer Nature |
| Citation: | Methodology and Computing in Applied Probability, 2018, 20 (1), pp. 189 - 204 |
| URI: | http://bura.brunel.ac.uk/handle/2438/18756 |
| DOI: | http://dx.doi.org/10.1007/s11009-017-9542-y |
| ISSN: | 1387-5841 http://dx.doi.org/10.1007/s11009-017-9542-y 1573-7713 |
| Appears in Collections: | Mathematical Sciences |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 371.47 kB | Adobe PDF | View/Open |
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