Development of modified geometric Brownian motion models by using stock price data and basic statistics

DOI10.1016/J.NA.2009.01.151MaRDI QIDQ419908zbMATH OpenOpenAlexFDO

Authors Ling Wu, G. S. Ladde

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

zbMATH Keywords

data partitioningempirical comparisongeometric Brownian motionsjumps

Mathematics Subject Classification ID

Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• A Course in Financial Calculus
• Determinant functions and applications to stochastic differential equations
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• scientific article; zbMATH DE number 195183 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Random differential inequalities
• The pricing of options and corporate liabilities

Cited in

(10)

• Numerical simulation of fractional-order dynamical systems in noisy environments
• 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
• Stochastic fractional differential equations: modeling, method and analysis
• Development of nonlinear stochastic models by using stock price data and basic statistics
• Divergence between sample path and moments behavior: an issue in the application of geometric brownian motion to finance
• Some aspects of modeling and statistical inference for financial models
• scientific article; zbMATH DE number 2109692 (Why is no real title available?)
• Model selection for stock prices data
• Analysis of share prices as Markov chains with countably infinite states
• The joint distributions of some extremums on geometric Brownian motion

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