Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk

DOI10.1007/S40096-015-0158-5MaRDI QIDQ1992174zbMATH OpenOpenAlexWikidataFDO

Authors Kianoush Fathi Vajargah, Maryam Shoghi

Publication date 2 November 2018

Published in Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s40096-015-0158-5

zbMATH Keywords

geometry Brownian motionquasi-Monte Carlo simulationSobol quasi-random sequencevalue at risk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Parameter estimation of some Kumaraswamy-G type distributions
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
• Projections of pension benefits in supplementary pension saving scheme in Slovakia
• Computational technique for simulating variable-order fractional Heston model with application in US stock market
• A computational method for solving stochastic Itô-Volterra integral equation with multi-stochastic terms
• The reliability of geometric Brownian motion forecasts of S\&P500 index values

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