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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
ISSN: 1387-5841
Appears in Collections:Mathematical Sciences

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