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Inhomogeneous Geometric Brownian Motion
SSRN Electronic Journal, 2009In this paper, we study analytical and probability aspects with special emphasis on the Laplace transform of first-passage time and mean first-passage time of inhomogeneous geometric Brownian motion. Perpetual American put options and perpetual American call options when the value of a project or a project cash flow stream is characterized by an IGBM ...
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The randomly stopped geometric Brownian motion
Statistics & Probability Letters, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Balanzario, Eugenio P. +2 more
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The integral of geometric Brownian motion
Advances in Applied Probability, 2001This paper is about the probability law of the integral of geometric Brownian motion over a finite time interval. A partial differential equation is derived for the Laplace transform of the law of the reciprocal integral, and is shown to yield an expression for the density of the distribution.
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Geometric Brownian motion as a model for river flows
Hydrological Processes, 2002AbstractLet X(t) be the flow of a certain river at time t. A geometric Brownian motion process is used as a model for X(t) and is found to give very good forecasts of future flows. The forecasted values generated by this one‐dimensional model are compared with those provided by a deterministic model that requires the evaluation of 18 entries.
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Generalizing Geometric Brownian Motion with Bouncing
SSRN Electronic Journal, 2020The trajectories of particles moving in a real line and following the Geometrical Brownian motion have been studied. We take processes and give the generalization of the notions, descriptions and models of Geometrical Brownian motion with bouncing. Moreover, we derive the formulas, which enable us to know the time and positions of the meeting for each ...
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Generalised geometric Brownian motion
2020Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset dynamics, due to irregularities found when comparing its properties with empirical distributions.
Stojkoski, Viktor +4 more
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The Confidence Limits of a Geometric Brownian Motion
2006This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted.
Turvey, Calum G. +3 more
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The reliability of geometric Brownian motion forecasts of S&P500 index values
Journal of Forecasting, 2021Amit K Sinha
exaly
Pricing geometric asian power options in the sub-fractional brownian motion environment
Chaos, Solitons and Fractals, 2021exaly
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Operations Research Letters, 2023Dan Pirjol
exaly