کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4639329 | 1632042 | 2013 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift On the correlation of the supremum and the infimum and of maximum gain and maximum loss of Brownian motion with drift](/preview/png/4639329.png)
چکیده انگلیسی
Investors are naturally interested in the supremum and the infimum of stock prices, also in the maximum gain and the maximum loss over a time period. To shed light on these relatively complicated aspects of sample paths, we consider Brownian motion with and without drift. We provide explicit calculations of the correlation between the supremum and the infimum of Brownian motion with drift. We establish a number of results concerning the distributions of maximum gain and maximum loss. We present simulation studies of maximum gain and of maximum loss of Brownian motion with a range of values for the drift. We conjecture that the correlation between maximum gain and maximum loss has a minimum value of â0.5 at drift 2.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 248, 15 August 2013, Pages 61-75
Journal: Journal of Computational and Applied Mathematics - Volume 248, 15 August 2013, Pages 61-75
نویسندگان
Ceren Vardar-Acar, Craig L. Zirbel, Gábor J. Székely,