Results 31 to 40 of about 141,036 (295)
Journal of Modern Science, 2022 Objectives The Covid-19 coronavirus pandemic created many doubts and unknowns in all areas of the activity of enterprises, not only for those smaller and more turbulent-prone entities but also for seemingly stronger players on the market. The fundamental
Adam Oleksiuk, Rafał Łochowski
doaj +1 more source
Large deviations for rough paths of the fractional Brownian motion [PDF]
, 2004 Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$ given by Coutin and Qian (2002), we prove a large deviation principle in the space of geometric rough paths ...
Millet, Annie, Sanz-Solé, Marta
core +5 more sources
Delay geometric Brownian motion in financial option valuation [PDF]
, 2012 Motivated by influential work on complete stochastic volatility models, such as Hobson and Rogers [11], we introduce a model driven by a delay geometric Brownian motion (DGBM) which is described by the stochastic delay differential equation dSðtÞ ¼ mðSðt
Mao, Xuerong, Sabanis, Sotirios
core +1 more source
, 2021 Geometric Brownian Motion is a mathematical model that can be used in stock price forecasting. This research aimed to predict the stock prices during the outbreak of coronavirus in Indonesia.
I. Fitria +2 more
semanticscholar +1 more source
Linear drift and entropy for regular covers [PDF]
, 2009 We consider a regular Riemannian cover $\M$ of a compact Riemannian manifold. The linear drift $\ell$ and the Kaimanovich entropy $h$ are geometric invariants defined by asymptotic properties of the Brownian motion on $\M$. We show that $\ell^2 \leq h$
Ledrappier, François
core +4 more sources
Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion
Lietuvos Matematikos Rinkinys, 2010 In 2010 J.M. Bardet and D. Surgailis [1] have introduced the increment ratio (IR) statistic which measures the roughness of random paths. It was shown that this statistic was applicable in the cases of diffusion processes driven by the standard Brownian ...
Dimitrij Melichov
doaj +1 more source
Pricing Multidimensional American Options
International Journal of Financial Studies, 2023 A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are
Elettra Agliardi, Rossella Agliardi
doaj +1 more source
Which is the right option for Indian market: Gaussian, normal inverse Gaussian, or Tsallis?
IIMB Management Review, 2019 This paper models Nifty spot prices using frameworks based on Gaussian distribution (geometric Brownian motion) and non-Gaussian distributions, viz. normal inverse Gaussian (NIG), and Tsallis distributions, to investigate which model best captures the ...
Prasenjit Chakrabarti +1 more
doaj +1 more source
Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
AIMS Mathematics, 2020 In this paper, pricing problem of the geometric Asian option in a subdiffusive Brownian motion regime is discussed. The subdiffusive property is manifested by the random periods of time, during which the asset price does not change.
Zhidong Guo +2 more
doaj +1 more source
Unraveling trajectories of diffusive particles on networks
Physical Review Research, 2022 The analysis of single-particle trajectories plays an important role in elucidating dynamics within complex environments such as those found in living cells.
Yunhao Sun +5 more
doaj +1 more source