A Generalization of Geometric Brownian Motion with Applications

DOI10.1080/03610921003764167zbMath1239.60081OpenAlexW1985670262MaRDI QIDQ3015918

Yu-Sheng Hsu, Cheng-Hsun Wu

Publication date: 13 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610921003764167

zbMATH Keywords

Brownian motionoption pricingfirst passage timegeometric Brownian motionoptimal portfolio selection problemperpetual warrant

Mathematics Subject Classification ID

Brownian motion (60J65) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic calculus for finance. II: Continuous-time models.
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Stochastic integral
• Exponential functionals of Brownian motion and related processes

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