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Geometric Brownian Motion

STUDY ON GEOMETRIC BROWNIAN MOTION WITH APPLICATIONS

STUDY ON GEOMETRIC BROWNIAN MOTION WITH APPLICATIONS

... on geometric Brownian motion with some ...Keywords- Geometric Brownian motion, Ito lemma, delays geometric Brownian motion, geometric Brownian ...

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Delay geometric Brownian motion in financial option valuation

Delay geometric Brownian motion in financial option valuation

... In the continuous time market model of Black and Scholes [4, 23], the price of a risky asset is supposed to be a geometric Brownian motion (GBM). This classical model assumes that continuously ...

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Fake Geometric Brownian Motion And Its Option Pricing

Fake Geometric Brownian Motion And Its Option Pricing

... fake Brownian motion and fake geometric Brownian motion, and show why the construction of the former cannot result in a direct construction of the ...fake geometric ...

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The Price of Stocks, Geometric Brownian Motion, and Black Scholes Formula

The Price of Stocks, Geometric Brownian Motion, and Black Scholes Formula

... The last chapter aims to understand Itˆ o’s Lemma and its applications. We start that chapter with a justification of Itˆ o’s process multiplication rules. Moreover, we study Itˆ o’s Lemma and mention some of its ...

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A Target Zone Model Where the Fundamentals Follow a Geometric Brownian Motion

A Target Zone Model Where the Fundamentals Follow a Geometric Brownian Motion

... In this paper, we propose a model of exchange rate target zone based on a specifica- tion of the economic fundamentals known as a Geometric Brownian Motion. The ra- tionale behind this specification ...

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Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

... is Geometric Brownian motion ...a Brownian motion increment, since Brownian motion can take negative values, it then implies the stock can become negative ...

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Fuzzy Time Series and Geometric Brownian Motion in Forecasting Stock Prices in Bursa Malaysia

Fuzzy Time Series and Geometric Brownian Motion in Forecasting Stock Prices in Bursa Malaysia

... Geometric Brownian Motion Approach Geometric Brownian Motion is a stochastic model of non-negative variation of Brownian ...

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Autocorrelated process control: Geometric Brownian Motion
approach versus Box Jenkins approach

Autocorrelated process control: Geometric Brownian Motion approach versus Box Jenkins approach

... However, the computation of Box-Jenkins method is too complicated and challenging which cause of time-consuming. Therefore, an alternative method which known as Geometric Brownian Motion (GBM) is ...

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Simulating Stock Prices Using Geometric Brownian Motion: Evidence from Australian Companies

Simulating Stock Prices Using Geometric Brownian Motion: Evidence from Australian Companies

... of geometric Brownian motion observed in these charts tends to follow a slight upward trend which prices of stocks don’t tend to deviate significantly from this ...

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Exact solutions for Fokker-Plank equation of geometric Brownian motion with Lie point symmetries

Exact solutions for Fokker-Plank equation of geometric Brownian motion with Lie point symmetries

... where the drift parameter α and the volatility σ are assumed to be constants. The above SDE is called geometric Brownian motion. Symmetry play a very important role in various fields of nature. As is ...

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Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion

Pricing European Option When the Stock Price Process Is Being Driven by Geometric Brownian Motion

... by geometric Brownian motion ...of geometric Brownian motion hence exploring some of the properties that improve the accuracy of an ...

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Geometric Brownian Motion, Option Pricing, and Simulation: Some Spreadsheet-Based Exercises in Financial Modeling

Geometric Brownian Motion, Option Pricing, and Simulation: Some Spreadsheet-Based Exercises in Financial Modeling

... on geometric Brownian motion are generally unfamiliar to business students, they are covered in some detail in the …rst subsection, with derivations also provided in Appendix ...

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Simulation and Hedging Oil Price with Geometric Brownian Motion and Single-Step Binomial Price Model

Simulation and Hedging Oil Price with Geometric Brownian Motion and Single-Step Binomial Price Model

... the geometric Brownian motion can perform well as a proxy for the movement of oil prices, and second, to test the viability or otherwise of using options contracts in mitigating government revenue ...

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1 Simulating Brownian motion (BM) and geometric Brownian motion (GBM)

1 Simulating Brownian motion (BM) and geometric Brownian motion (GBM)

... (By convention if tk is not an integer then we replace it by the largest integer less than or equal to it; denoted by [tk].) This leads to the particle taking many many iid steps, but ea[r] ...

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Geometric brownian motion: an alternative to high-frequency trading for small investors

Geometric brownian motion: an alternative to high-frequency trading for small investors

... GBM is a stochastic model discovered by Robert Brown in 1827 by observing the continuous movement and irregular trajectories of pollen grains in an aqueous suspension. The stochastic process that describes GBM properties ...

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Brownian motion

Brownian motion

... study Brownian motion, the basic building block from which geometric Brownian motion is easily ...of Brownian motion in modern probability theory cannot be ...about ...

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Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein Uhlenbeck Process and Application on KLCI Option Pricing

Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein Uhlenbeck Process and Application on KLCI Option Pricing

... fractional geometric Brownian motion and fractional Orenstein-Uhlenbeck, we ob- tained log return of adjust closed, daily volatility of log return and daily volatility of adjust ...

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FRACTIONAL BROWNIAN MOTION AND STANDARD BROWNIAN MOTION

FRACTIONAL BROWNIAN MOTION AND STANDARD BROWNIAN MOTION

... Shevchenko, Existence and uniqueness of the solution of stochastic differential equation involving wiener process and fractional Brownian motion with Hurst index H > 1/2, Comm.. R˘ a¸[r] ...

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Evaluation of Geometric Asian Power Options under Fractional Brownian Motion

Evaluation of Geometric Asian Power Options under Fractional Brownian Motion

... fractional Brownian motion is proper to model the stock dy- namics for its long-range ...of geometric Asian options under frac- tional Brownian motion ...

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Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion?

Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion?

... a Brownian motion is typically used in modeling the asset prices, interest rates and ex- change rates, and so ...of Brownian motion as a driving force of the underlying asset price processes ...

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