emaxdrawdown
Compute expected maximum drawdown for Brownian motion
Description
computes the expected maximum drawdown for a Brownian motion for each time period in
ExpDrawdown
= emaxdrawdown(Mu
,Sigma
,T
)T
using the following equation:
If the Brownian motion is geometric with the stochastic differential equation
then use Ito's lemma with X(t) = log(S(t)) such that
converts it to the form used here.
Examples
Input Arguments
Output Arguments
References
[1] Malik, M. I., Amir F. Atiya, Amrit Pratap, and Yaser S. Abu-Mostafa. “On the Maximum Drawdown of a Brownian Motion.” Journal of Applied Probability. Vol. 41, Number 1, March 2004, pp. 147–161.
Version History
Introduced in R2006b