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...
| Autors principals: | , , , , |
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| Format: | Article |
| Idioma: | English |
| Publicat: |
MDPI AG
2020-12-01
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| Col·lecció: | Entropy |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/1099-4300/22/12/1432 |