文件名称：The joint density of the maximum and its location
文件大小：355KB
文件格式：PDF
更新时间：2021-05-20 14:11:20
The joint
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 of the stock, this distribution can be obtained in a simple closed form from the joint distribution of the maximum, its location, and the endpoint which we give.