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Search: subject:"Geometric Brownian Motion"
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Stochastic process
73
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Geometric Brownian motion
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Chan, Leunglung
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ECONIS (ZBW)
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RePEc
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EconStor
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1
Arbitrage problems with reflected
geometric
Brownian
motion
Buckner, Dean
;
Dowd, Kevin
;
Hulley, Hardy
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014447570
Saved in:
2
Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio
Cotticelli, Stefano
;
Savelli, Nino
- In:
Annals of actuarial science : publ. by the Institute of …
18
(
2024
)
1
,
pp. 205-236
Persistent link: https://www.econbiz.de/10014519979
Saved in:
3
A real options model for remanufacturing facility installation decisions
Sadat, Mohammad Ahnaf
;
Kremer, Gül
;
Min, K. Jo
- In:
Decision analytics journal
7
(
2023
),
pp. 1-19
.g., exchange rate volatility, raw material price volatility, etc.), we assume it is characterized by a
geometric
Brownian
motion
…
Persistent link: https://www.econbiz.de/10014436613
Saved in:
4
Dollar cost averaging returns estimation
Brown, Hayden
- In:
International journal of theoretical and applied …
26
(
2023
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014305915
Saved in:
5
A Real Options Analysis model for generation expansion planning under uncertain demand
Nur, Gazi Nazia
;
MacKenzie, Cameron A.
;
Min, K. Jo
- In:
Decision analytics journal
8
(
2023
),
pp. 1-13
geometric
Brownian
motion
(GBM) process. We obtain the Locational Marginal Pricing (LMP) at buses representing communities from …
Persistent link: https://www.econbiz.de/10014516565
Saved in:
6
Price index modeling and risk prediction of sharia stocks in Indonesia
Ghozali, Imam
;
Handriani, Eka
;
Trimono, Trimono
; …
- In:
Economies
10
(
2022
)
1
,
pp. 1-13
loss risk. This study uses
geometric
Brownian
motion
(GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …
Persistent link: https://www.econbiz.de/10013199960
Saved in:
7
Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo
;
Ghozali, Imam
;
Handriani, Eka
;
Trimono, Trimono
- In:
Economies : open access journal
10
(
2022
)
1
,
pp. 1-13
loss risk. This study uses
geometric
Brownian
motion
(GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …
Persistent link: https://www.econbiz.de/10012800645
Saved in:
8
Pricing options on a mean-reverting asset by the analytical operator splitting method
Lo, C. F.
;
He, Y. W.
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10013367498
Saved in:
9
Gaussian process regression for forecasting gasoline prices in Jordan
Ajlouni, Sameh Asim
;
Alodat, Moh'd Taleb
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
3
,
pp. 502-509
Persistent link: https://www.econbiz.de/10012622773
Saved in:
10
Dynamic portfolio speculation via an informationally more structured ITO process
Feghhi Kashani, Mohamamd
;
Mohebimajd, Ahmadreza
- In:
Iranian journal of economic studies : IJES
10
(
2021
)
2
,
pp. 315-337
Persistent link: https://www.econbiz.de/10013364165
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