Work

The maximum drawdown of the Brownian motion

Year: 2003

Type: conference-paper

Source: IEEE Conference on Computational Intelligence for Financial Engineering & Economics

DOI: 10.1109/cifer.2003.1196267

Authors: M. Magdon-Ismail, A. Atiya, A. Pratap, Y. Abu-Mostafa

Institutions: Rensselaer Polytechnic Institute, Cairo University, California Institute of Technology

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1890781297

FWCI: 2.09

Cites: 7

Cited by: 25

Related to: 10