Speed and duration of drawdown under general Markov models
Lingfei Li, Pingping Zeng and Gongqiu Zhang
| Year of publication: |
2024
|
|---|---|
| Authors: | Li, Lingfei ; Zeng, Pingping ; Zhang, Gongqiu |
| Subject: | Duration of drawdown | General Markov models | Option pricing | CTMC | Speed of drawdown | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Dauer | Duration | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2336154 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014552019