The value of the high, low and close in the estimation of Brownian motion
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Publication:2040943
DOI10.1007/s11203-020-09229-xzbMath1478.60224arXiv1911.05280OpenAlexW3110853178MaRDI QIDQ2040943
Publication date: 15 July 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.05280
Numerical methods (including Monte Carlo methods) (91G60) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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