Results 111 to 120 of about 257,172 (325)
When to Sell or Hold a Stock:Empirical Evidence from an Emerging Market [PDF]
, 2012 Data from an emerging market were used to determine when to sell or hold a stock for a single model of a stock whose price is assumed to be a geometric Brownian motion in which the jump Markov process changes back and forth between positive and negative ...
Ogundiran, T.J., Owoloko, E. A.
core
Modelling conversion options with a mean reversion motion
Revista Brasileira de Finanças, 2007 Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use.
Luiz E. T. Brandão +1 more
doaj
The Correlator Toolbox, Metrics and Moduli
, 2005 We discuss the possible set of operators from various boundary conformal field theories to build meaningful correlators that lead via a Loewner type procedure to generalisations of SLE($\kappa,\rho$).
Bauer, Robert O., Friedrich, Roland M.
core +1 more source
Mirror and Synchronous Couplings of Geometric Brownian Motions [PDF]
arXiv, 2013 The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and show that, unlike in the case of ...
arxiv
MATEC Web of Conferences, 2016 Philippine Stock Exchange Composite Index (PSEi) is the main stock index of the Philippine Stock Exchange (PSE). PSEi is computed using a weighted mean of the top 30 publicly traded companies in the Philippines, called component stocks.
Gayo Willy, David Guido
doaj +1 more source
Modified Brownian Motion Approach to Modelling Returns Distribution [PDF]
arXiv, 2015 An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian Motion Model with optimal weighting factors selected by goodness of fit tests, substantially outperform the basic ...
arxiv
Fractal and FractionalThis paper introduces the fractional Heston-type (fHt) model as a stochastic system comprising the stock price process modeled by a geometric Brownian motion. In this model, the infinitesimal return volatility is characterized by the square of a singular
Marc Mukendi Mpanda
doaj +1 more source
Fake Geometric Brownian Motion And Its Option Pricing [PDF]
, 2011 In this thesis, we begin with introducing the notion of a fake geometric Brownian motion in analogy to the fake Brownian motion. Secondly we construct two discontinuous fake geometric Brownian motion processes via the solutions to the Skorokhod embedding
Xu, Xingjian
core +1 more source
The Anatomical Record, EarlyView.Bioimaging of the sense organs and brain of fishes and reptiles. Left panel: 3D reconstruction of the head and brain of the deep‐sea viperfish Chauliodus sloani following diceCT. Right panel: A 3D reconstruction of a 70‐day‐old embryo head of the bearded dragon Pogona vitticeps following diceCT, showing the position of the segmented brain within the ...
Shaun P. Collin +9 more
wiley +1 more source
On some Brownian functionals and their applications to moments in lognormal and Stein stochastic volatility models [PDF]
arXiv, 2011 The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of special functional of geometric Brownian motion using the squared Bessel and radial Ornstein-Uhlenbeck processes ...
arxiv