Elliott R J,Chan L L.Perpetual American options with frac- tional Brownian motion [J],Quantitative Finance,2004,4 (2):123-128.Elliott R J,Chan L.Perpetual American options with fractional Brownian motion. Quant Finance . 2004Elliott R.J. and Chan L.L. Perpetual American options with ...
In this manuscript, daily and weekly geometric Brownian motion forecasts are obtained and tested for reliability for three indexes, DJIA, NASDAQ and S&P 500. A twenty-year rolling window is used to estimate the drift and diffusion components, and applied to obtain one-period-ahead geometric Browni...
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We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to the logarithm of geometric fractional Brownian motion representing the stock price in a financial market. We derive the asymptotics of tail probabilities of the maximum drawdown and maximum drawup, ...
Brownian motion with partial information 来自 Semantic Scholar 喜欢 0 阅读量: 8 作者: T Mcconnell 摘要: We study the following problem concerning stopped -dimensional Brownian motion: Compute the maximal function of the process, ignoring those times when it is in some fixed region . Suppose ...
Bessel processes, the integral of geometric Brownian motion, and Asian options Starting with research of Yor's in 1992, these questions about exponential functionals of Brownian motion have been studied in terms of Bessel processes ... P. CARR†,M. SCHRO¨ DER‡ - 《Theory of Probability ...
This paper studies the pricing of American carbon emission derivatives and its numerical method under the mixed fractional Brownian motion. To capture the long memory properties such as self-similarity and long-range dependence in the price process, we proposed a model based on a fractional Black鈥...
Lastly, when the Lévy process is a Brownian motion with drift, we can compute explicitly the distributions of a number of functionals of the α-Lipschitz minorant process. In order to describe these results, we first note that it follows from Lemma 9.3 below that the graph of the α-...
In addition we consider a general case that the coefficients of the model are time-varying. To capture the behaviors of exchange rate, the combination of Poisson jumps and generalized mixed fractional Brownian motion is introduced. To derive the pricing formula for some options, we firstly derive...
Brownian motionhyperbolic processesinfimum processesWe consider perpetual American options assuming, that under a chosen equivalent martingale measure the shock ... SI Boyarchenko,SZ Levendorski - IEEE 被引量: 322发表: 2002年 STOPPING BROWNIAN MOTION WITHOUT ANTICIPATION AS CLOSE AS POSSIBLE TO ITS UL...