An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion
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DOI: 10.1007/s11009-017-9542-y
Abstract: We define the drawdown stopping time of a Brownian motion as the first time its drawdown reaches a duration of length 1. In this paper, we propose an efficient algorithm to efficiently simulate the drawdown… read more here.
Keywords: drawdown stopping; time; brownian motion; efficient algorithm ... See more keywords