Browsing Mathematics (Faculty of) by Author "Fagnan, David Erik"
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Computational Methods for Maximum Drawdown Options Under Jump-Diffusion
Fagnan, David Erik (University of Waterloo, 2011-08-26)Recently, the maximum drawdown (MD) has been proposed as an alternative risk measure ideal for capturing downside risk. Furthermore, the maximum drawdown is associated with a Pain ratio and therefore may be a ...