CUTTING EDGE: OPTION PRICING Maximum draw-down and directional trading - Maximum draw-down measures the worst drop in a market in a given time period. The author shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading.
| Year of publication: |
2006
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| Authors: | Vecer, Jan |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 12, p. 88
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