Mayerhofer, Eberhard - In: Risks : open access journal 7 (2019) 4/105, pp. 1-10
formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any … drawdown, if and only if the diffusion characteristic μ/σ2 is constant. This complements the sufficient condition formulated by … Lehoczky (1977). Third, we give an alternative proof for the fact that the maximum before a fixed drawdown is exponentially …