Some properties of Kagi and Renko moments for Brownian motion (Q355294)
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scientific article; zbMATH DE number 6190801
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| English | Some properties of Kagi and Renko moments for Brownian motion |
scientific article; zbMATH DE number 6190801 |
Statements
Some properties of Kagi and Renko moments for Brownian motion (English)
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24 July 2013
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Kagi and Renko moments
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trade models
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Bachelier model
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expected gain
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Brownian motion
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0.9242743
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0.87034357
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0.86792624
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0.8637823
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0.8531792
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0.8510057
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0.85037345
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0.84871554
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