PDE methods for maximum drawdown (Q3622840): Difference between revisions
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Latest revision as of 09:56, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PDE methods for maximum drawdown |
scientific article |
Statements
PDE methods for maximum drawdown (English)
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28 April 2009
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maximum drawdown
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Black-Scholes model
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PDE
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Peaceman-Rockford scheme
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Douglas-Rockford scheme
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