An enhanced applications of brownian motion to mathematical finance in stochastic modeling

DOI10.1080/09720502.2011.10700765zbMath1386.91150OpenAlexW2323726545MaRDI QIDQ3101545

R. Sasikumar

Publication date: 29 November 2011

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/1189704H_09_JIM_T32_14-4_pp471-481A.pdf

zbMATH Keywords

random walkgeometric Brownian motionstock option pricing

Mathematics Subject Classification ID

Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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