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  4. The joint density of the maximum and its location

The joint density of the maximum and its location

上传者: 2021-04-24 11:10:18上传 PDF文件 355.33KB 热度 17次
Introduction It is of interest' to calculate the distribution of the value of the difference between the maximum and present values of a stock or other security along with the time of occurrence of the maximum. At least for the usual model using a Wiener process with drift for the log of the value o
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