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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Geometric Brownian Motion"
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Stochastic process
73
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73
Option pricing theory
45
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45
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36
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36
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29
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Aufsatz in Zeitschrift
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Chan, Leunglung
4
Min, K. Jo
4
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3
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3
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3
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3
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3
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2
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2
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2
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1
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1
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International journal of theoretical and applied finance
8
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6
Insurance / Mathematics & economics
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4
International journal of financial engineering
3
The European journal of finance
3
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1
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1
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Astin bulletin : the journal of the International Actuarial Association
1
Australasian accounting business and finance journal : AABF
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Danube : law and economics review
1
EconoQuantum : Revista de Economía y Negocios
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Finance and stochastics
1
Financial services review : the journal of individual financial management
1
IEEE transactions on engineering management : EM
1
IIMB management review
1
IMA journal of management mathematics
1
International Journal of Energy Economics and Policy : IJEEP
1
International journal of business
1
International journal of economic perspectives : IJEP
1
International journal of sustainable economy : IJSE
1
Inventi impact: international trade
1
Iranian journal of economic studies : IJES
1
Journal of Asian finance, economics and business : JAFEB
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ECONIS (ZBW)
95
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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
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:
7
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:
8
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:
9
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
Saved in:
10
Asymptotics for the Laplace transform of the time integral of the
geometric
Brownian
motion
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Operations research letters
51
(
2023
)
3
,
pp. 346-352
Persistent link: https://www.econbiz.de/10014374962
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