BROWNIAN motionEFFICIENT market theoryFINANCIAL marketsMONTE Carlo methodSTOCK exchangesThis research examines whether stock prices in the Indian stock markets follow a Geometric Brownian Motion (GBM). This study is keen on knowing if one can predict the simulated stock prices accurat...
That is, the option value is related to the probability that expiry date stock price ST exceeds X, the exercise price of the option. The assumption that the stock price follows a geometric Brownian motion process means that the logarithmic return of a stock follows an arithmetic Brownian motion...
Reddy K, Clinton V 2016 Simulating Stock Prices Using Geometric Brownian Motion; Evidence from Australian Companies, Australasian Accounting, Business and Finance Journal 10 3 23-47Dr Reddy and V Clinton. Simulating stock prices using geometric brownian motion: Evidence from australian companies. 10:...
The model in equation (14.6) represents the stock price process in the real world. In a risk-neutral world, μ equals the risk-free rate r. Discrete-Time Model geometric Brownian motion: The meanings of various variables are same as what mentioned above: ΔS is the change in the stock ...
摘要: For a simple model of a stock, whose stock price is a geometric Brownian motion in which the drift rate changes back and forth between positive and negative values, optimal selling times are computed. An infinite optimal selling time meaning you should just hold the stock....
(5) The stock price follows a "geometric" Brownian motion through time which produces a log-normal distribution for stock price between any two points in time. In a subsequent, alternative derivation of the Black-Scholes formula, Merton [18] demonstrated that their basic mode of analysis ...
This paper is concerned with stock loan valuation in which the underlying stock price is dictated by geometric Brownian motion with regime switching. The s... Q Zhang,YZ Xun - 《Siam Journal on Control & Optimization》 被引量: 93发表: 2009年 Stock loan valuation under a regime-switching mod...
Assuming that the stock price $Z=(Z_t)_{0\leq t\leq T}$ follows a geometric Brownian motion with drift $\mu\in\mathbb{R}$ and volatility $\sigma>0$, and letting $M_t=\max_{0\leq s\leq t}Z_s$ for $t\in[0,T]$, we consider the optimal prediction problems \[V_1=\inf...
The main question we would like to address in this paper is as follows: Given a geometric Brownian motion (GBM) as the underlying stock price model, what i... CH Hsieh - Elsevier BV 被引量: 0发表: 2022年 Extreme Volatility Prediction in Stock Market: When GameStop meets Long Short-Term...
This paper is concerned with stock loan valuation in which the underlying stock price is dictated by geometric Brownian motion with regime switching. The s... Q Zhang,YZ Xun - 《Siam Journal on Control & Optimization》 被引量: 93发表: 2009年 Stock loan with Automatic termination clause, cap...