On Azéma–Yor processes, their optimal properties and the...

The Annals of Probability 2012 / 01 Vol. 40; Iss. 1

On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation

Carraro, Laurent, El Karoui, Nicole, Obłój, Jan
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Volume:
40
Language:
english
Journal:
The Annals of Probability
DOI:
10.1214/10-AOP614
Date:
January, 2012
File:
PDF, 307 KB
english, 2012
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