Results 291 to 295 of about 141,036 (295)

Approximation Methods for Inhomogeneous Geometric Brownian Motion

International Journal of Theoretical and Applied Finance, 2018
We present an accurate and easy-to-compute approximation of the transition probabilities and the associated Arrow-Debreu (AD) prices for the inhomogeneous geometric Brownian motion (IGBM) model for interest rates, default intensities or volatilities ...
L. Capriotti, Yupeng Jiang, Gaukhar Shaimerdenova   +2 more
semanticscholar   +1 more source

Geometric Brownian Motion

Applied Financial Econometrics, 2021
Moinak Maiti
semanticscholar   +1 more source

An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion

Computational Economics, 2019
Yue Liu, Aijun Yang, Jijian Zhang, Jingjing Yao   +3 more
semanticscholar   +1 more source

Time-fractional geometric Brownian motion from continuous time random walks

Physica A: Statistical Mechanics and its Applications, 2019
C. Angstmann, B. Henry, A. V. McGann
semanticscholar   +1 more source

Investment Portfolio Strategy Based on Geometric Brownian Motion and Backward Stochastic Differential Equations

International Conference on Management Engineering, Software Engineering and Service Sciences, 2018
Xuechen Yang, Shan Zhao, Hongjun Li
semanticscholar   +1 more source