Results 11 to 20 of about 136,850 (323)
Arbitrage problems with reflected geometric Brownian motion [PDF]
Finance and Stochastics, 2022 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free.
D. Buckner, K. Dowd, H. Hulley
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Cooperation dynamics in networked geometric Brownian motion. [PDF]
Physical Review E, 2019 Recent works suggest that pooling and sharing may constitute a fundamental mechanism for the evolution of cooperation in well-mixed fluctuating environments.
Viktor Stojkoski +3 more
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Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options [PDF]
Advances in Applied Probability, 2017 The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric Brownian motion sampled on uniformly spaced ...
Dan Pirjol, Lingjiong Zhu
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Geometric Brownian Motion in Stock Prices
Journal of Physics: Conference Series, 2019 Financial instability estimates the changes of the cost of a monetary instrument. It is a proportion of properties of the Stock prices stability. Fractal investigations are used to assess the money related instability. Forecasting of stock prices acts as
K. Suganthi, G. Jayalalitha
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Evaluation of an iron ore price forecast using a geometric Brownian motion model
REM: International Engineering Journal, 2019 Mining projects are often budgeted in millions of dollars, making it of interest to the investor to measure a project’s uncertainties and risks, which include the changes in the commodity price.
André Lubene Ramos +4 more
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A geometric Brownian motion car-following model: towards a better understanding of capacity drop [PDF]
Transportmetrica B: Transport Dynamics, 2018 Traffic flow downstream of the congestion is generally lower than the pre-queue capacity. This phenomenon is called the capacity drop. Recent empirical observations show a positive relationship between the speed in congestion and the queue discharge rate.
Kai Yuan +4 more
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On the integral of geometric Brownian motion [PDF]
Advances in Applied Probability, 2002 This paper studies the law of any real powers of the integral of geometric Brownian motion over finite time intervals. As its main results, an apparently new integral representation is derived and its interrelations with the integral representations for these laws originating by Yor and by Dufresne are established.
Michael Schröder
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Journal of Computational and Applied Mathematics, 2021 Irene Tubikanec +3 more
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Hitting distributions of geometric Brownian motion [PDF]
Studia Mathematica, 2006 Let $ $ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2 t)$ with drift $ \geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We provide an integral formula for the density function of the stopped exponential functional $A( )=\int_0^ X^2(t) dt$ and
T. Byczkowski, Michał Ryznar
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Stock price prediction using geometric Brownian motion [PDF]
, 2018 Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%.
Widiasari Agustini +2 more
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