(Geometric Brownian Motion)是一种连续时间随机过程,通常用来描述某些财务和经济学领域中的现象,比如股票价格的变化或汇率的波动等。它的特点是在每个时间段内的增长率与当前值成比例,而且这个比例服从正态分布。 几何布朗运动可以用如下的随机微分方程来表示: GBM 其中,St表示在时间 t 时刻的股票价格或其他随机变量...
Geometric Brownian Motion Model in Financial Market Zhijun Yang Faculty Adivisor: David Aldous In the modeling of financial market, especially stock market, Brownian Motion play a significant role in building a statisitcal model. In this section, I will explore some of the technique to ...
ylabel('t');zlabel('PDF');title('Geometric Brownian Motion PDF');几何布朗运动在金融学中有广泛应用，用于描述股票价格、汇率等金融资产波动，以及期权定价等研究。
geometric_brownian_motion
doi:10.1007/978-3-0348-8163-0_17Sigman, KarlKarl, Sigman. 2006. Geometric Brownian Motion.Columbia University, New York.Karl Sigman, Geometric Brownian motion.Geometric Brownian Motion[OL].http://www.math.duke.edu/education/ccp/materials/fin/gbm/ contents.html,2004....
GeometricBrownianMotion
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit solutions in terms of modified Bessel functions. In this paper, we revisit this classic result using the simple Laplace ...
Next PDF/EPUB Tools Share Cite Recommend Abstract Universal constructions of univariate and bivariate Gaussian distributions, as transformations of diffuse probability distributions via, respectively, plane- and space-filling fractal interpolating functions and the central limit theorems that they imply, are ...
Grigor’yan, A.: Alexander Analytic and geometric background of recurrence and non-explosion of the Brownian motion on Riemannian manifolds. Bull. Am. Math. Soc. 36, 135–249 (1999) CrossRef Hamilton, R. S.: The formation of singularities in the Ricci flow. In: Surveys in differential ...
2015-02-27上传 geometric integrators for multiple time-scale simulation 文档格式: .pdf 文档大小: 726.81K 文档页数: 25页 顶/踩数: 0/0 收藏人数: 0 评论次数: 0 文档热度: 文档分类: 外语学习--英语学习 文档标签: geometricintegratorsformultipletime-scalesimulation ...