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"Processes of Class Sigma, Last Passage Times, and Drawdowns."

Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen (2012)

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DOI: 10.1137/09077878X

access: closed

type: Journal Article

metadata version: 2020-10-26

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  - journals/siamfm/CheriditoNP12
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  - https://dblp.org/rec/journals/siamfm/CheriditoNP12
Patrick Cheridito, Ashkan Nikeghbali, Eckhard Platen:
Processes of Class Sigma, Last Passage Times, and Drawdowns. SIAM J. Financial Math. 3(1): 280-303 (2012)

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