Development of modified geometric Brownian motion models by using stock price data and basic statistics

DOI10.1016/J.NA.2009.01.151zbMath1238.91151OpenAlexW1977805701MaRDI QIDQ419908

Ling Wu, Gangaram S. Ladde

Publication date: 20 May 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.01.151

zbMATH Keywords

jumpsdata partitioningempirical comparisongeometric Brownian motions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (2)

Stochastic fractional differential equations: modeling, method and analysis ⋮ Numerical simulation of fractional-order dynamical systems in noisy environments

Cites Work

• The Pricing of Options and Corporate Liabilities
• Random differential inequalities
• A Course in Financial Calculus
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