On a time-changed geometric Brownian motion and its application in financial market

DOI10.5506/APHYSPOLB.43.1667MaRDI QIDQ5359835zbMATH OpenFDO

Authors Hui Gu, Jin-Rong Liang, Yunxiu Zhang

Publication date 27 September 2017

Published in Acta Physica Polonica B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5506/APHYSPOLB.43.1667

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Stochastic Clock and Financial Markets
• GENERALIZED BROWNIAN MOTIONS WITH APPLICATION TO FINANCE
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• scientific article; zbMATH DE number 1642340
• Change of time method in mathematical finance

Cited in

(8)

• Modeling anomalous diffusion by a subordinated integrated Brownian motion
• 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
• A weighted finite difference method for subdiffusive Black-Scholes model
• Weak and strong discrete-time approximation of fractional SDEs
• Change of time method in mathematical finance
• Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes
• GENERALIZED BROWNIAN MOTIONS WITH APPLICATION TO FINANCE
• Stochastic Clock and Financial Markets

This page was built for publication: On a time-changed geometric Brownian motion and its application in financial market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5359835)