Highs and lows: Some properties of the extremes of a diffusion and applications in finance (Q4801371)
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scientific article; zbMATH DE number 1893830
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| English | Highs and lows: Some properties of the extremes of a diffusion and applications in finance |
scientific article; zbMATH DE number 1893830 |
Statements
Highs and lows: Some properties of the extremes of a diffusion and applications in finance (English)
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7 April 2003
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Brownian motion
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geometric Brownian motion
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highs
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lows
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options
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simulation
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0.788252592086792
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0.741227924823761
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0.731140673160553
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0.7256911993026733
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