Development of modified geometric Brownian motion models by using stock price data and basic statistics
DOI10.1016/J.NA.2009.01.151zbMATH Open1238.91151OpenAlexW1977805701MaRDI QIDQ419908FDOQ419908
Publication date: 20 May 2012
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2009.01.151
Recommendations
Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Random differential inequalities
- Title not available (Why is that?)
- A Course in Financial Calculus
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (6)
- Title not available (Why is that?)
- Divergence between sample path and moments behavior: an issue in the application of geometric brownian motion to finance
- Stochastic fractional differential equations: modeling, method and analysis
- 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
- Some aspects of modeling and statistical inference for financial models
- Numerical simulation of fractional-order dynamical systems in noisy environments
This page was built for publication: Development of modified geometric Brownian motion models by using stock price data and basic statistics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419908)
