A CTMC-based framework computes five drawdown and drawup quantities, including occupation times and nth drawdown times, under general Markov models with O(N^3) complexity and a convergence guarantee.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.MF 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Drawdowns, Drawups, and Occupation Times under General Markov Models
A CTMC-based framework computes five drawdown and drawup quantities, including occupation times and nth drawdown times, under general Markov models with O(N^3) complexity and a convergence guarantee.