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Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing
Classical 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 properti...
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| Publicado no: | Entropy (Basel) |
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| Main Authors: | , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7766185/ https://ncbi.nlm.nih.gov/pubmed/33353060 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e22121432 |
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