Results 51 to 60 of about 136,850 (323)
Central Limit Theorems for the Brownian motion on large unitary groups [PDF]
, 2009 In this paper, we are concerned with the large N limit of linear combinations of the entries of a Brownian motion on the group of N by N unitary matrices. We prove that the process of such a linear combination converges to a Gaussian one.
De France +3 more
core +8 more sources
Revisiting integral functionals of geometric Brownian motion
Statistics & Probability Letters, 2020 In this paper we revisit the integral functional of geometric Brownian motion $I_t= \int_0^t e^{-( s + W_s)}ds$, where $ \in\mathbb{R}$, $ > 0$, and $(W_s )_s>0$ is a standard Brownian motion. Specifically, we calculate the Laplace transform in $t$ of the cumulative distribution function and of the probability density function of this ...
Boguslavskaya, E, Vostrikova, L
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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
Discrete Dynamics in Nature and Society, 2020 In this paper, we first investigate the stochastic representation of the modified advection-dispersion equation, which is proved to be a subordinated stochastic process.
Longjin Lv, Luna Wang
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Geometric brownian motion: an alternative to high-frequency trading for small investors
Independent Journal of Management & Production, 2020 High-frequency trading (HFT) involves short-term, high-volume market operations to capture profits. To a large extent, these operations take advantage of early access to information using fast and sophisticated technological tools running on ...
E. Abensur +2 more
semanticscholar +1 more source
Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
doaj +1 more source
On the distribution of the time-integral of the geometric Brownian motion
Journal of Computational and Applied Mathematics, 2022 We study the numerical evaluation of several functions appearing in the small time expansion of the distribution of the time-integral of the geometric Brownian motion as well as its joint distribution with the terminal value of the underlying Brownian motion.
Péter Nándori, Dan Pirjol
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Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Journal of Applied Mathematics, 2013 Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian ...
Di Pan +3 more
doaj +1 more source
MODELLING MALAYSIAN GOLD PRICES USING GEOMETRIC BROWNIAN MOTION MODEL
, 2020 In this study, we use geometric Brownian motion, a mathematical model, to represent the future price path for Malaysian gold prices, namely Kijang Emas. We estimate the unknown parameters in the model, and we illustrate the accuracy of this method using ...
Zawin Najah Hamdan +2 more
semanticscholar +1 more source
Geometrical optics of large deviations of fractional Brownian motion
Physical Review E, 2022 9 pages, 7 ...
Meerson, Baruch, Oshanin, Gleb
openaire +3 more sources