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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Detalles Bibliográficos
Autores principales: Stojkoski, Viktor, Sandev, Trifce, Basnarkov, Lasko, Kocarev, Ljupco, Metzler, Ralf
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7766185/
https://www.ncbi.nlm.nih.gov/pubmed/33353060
http://dx.doi.org/10.3390/e22121432

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