On the number of deviations of Geometric Brownian Motion with drift from its extreme points with applications to transaction costs

Thomas Poufinas

Mots clés: Physical Sciences

Thomas Poufinas. On the number of deviations of Geometric Brownian Motion with drift from its extreme points with applications to transaction costs. Statistics and Probability Letters, 2010, 78 (17), pp.3040. ⟨10.1016/j.spl.2008.05.008⟩. ⟨hal-00644713⟩