PDE methods for maximum drawdown (Q3622840)
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scientific article; zbMATH DE number 5548818
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | PDE methods for maximum drawdown |
scientific article; zbMATH DE number 5548818 |
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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0.7465161681175232
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0.7421525120735168
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0.7301475405693054
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0.7268366813659668
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