An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion
Crossref DOI link: https://doi.org/10.1007/s11009-017-9542-y
Published Online: 2017-01-25
Published Print: 2018-03
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Dassios, Angelos
Lim, Jia Wei http://orcid.org/0000-0001-9839-3620