Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4639329 | Journal of Computational and Applied Mathematics | 2013 | 15 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Ceren Vardar-Acar, Craig L. Zirbel, Gábor J. Székely,