PDE methods for maximum drawdown (Q3622840)

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PDE methods for maximum drawdown
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    title
    PDE methods for maximum drawdown (English)
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    DOI
    10.21314/JCF.2008.177
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    author
    Libor Pospisil
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    Jan Večeř
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    publication date
    28 April 2009
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    Mathematics Subject Classification ID
    91G80
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    91G60
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    91B30
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    zbMATH DE Number
    5548818
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    zbMATH Keywords
    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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