Geometric Brownian Motion (GBM) of Stock Indexes and Financial Market Uncertainty in the Context of Non-Crisis and Financial Crisis Scenarios
The present article proposes a methodology for modeling the evolution of stock market indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion are determined considering two states of economic conjunctures (states of the economy), i.e., non-crisis and financial crisis...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-01-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/3/309 |