The reliability of geometric Brownian motion forecasts of S&P500 index values

DOI10.1002/FOR.2775zbMath1476.62229OpenAlexW3145387145MaRDI QIDQ5012730

Amit K. Sinha

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2775

zbMATH Keywords

Wiener processMonte Carlo simulationforecastinggeometric Brownian motionrealized volatilitylog normal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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