Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
Crossref DOI link: https://doi.org/10.1007/s00780-022-00486-7
Published Online: 2022-09-15
Published Print: 2022-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
González Cázares, Jorge
Mijatović, Aleksandar
Text and Data Mining valid from 2022-09-15
Version of Record valid from 2022-09-15
Article History
Received: 27 March 2021
Accepted: 4 May 2022
First Online: 15 September 2022