On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs

DOI10.1016/J.SPL.2008.05.008zbMath1171.60372OpenAlexW2074974419MaRDI QIDQ956391

Thomas Poufinas

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.05.008

zbMATH Keywords

geometric Brownian motionmodelling of transaction costs

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes and stochastic analysis on manifolds (58J65)

Cites Work

• Numerical solution of SDE through computer experiments. Including floppy disk
• A Black--Scholes option pricing model with transaction costs
• Utility based option evaluation with proportional transaction costs
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