On magnitude, asymptotics and duration of drawdowns for Lévy models (Q502880)
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scientific article
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| English | On magnitude, asymptotics and duration of drawdowns for Lévy models |
scientific article |
Statements
On magnitude, asymptotics and duration of drawdowns for Lévy models (English)
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11 January 2017
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asymptotics
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drawdown
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duration
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Lévy process
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magnitude
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Parisian stopping time
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0.8970256
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0.89642674
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0.8962229
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0.8839226
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0.87081957
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0.86749226
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