Search Results - "Brownian motion"

Testing the biased geometric Brownian motion by Danswasvong, Thepdanai

“…This dissertation proposes a new stock price model “The biased geometric Brownian motion”. In short, the biased geometric Brownian motion is a normal geometric Brownian motion with a newly introduced “biased factor”. …”
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The valuation of currency options by fractional Brownian motion by Shokrollahi, Foad, Kilicman, Adem

“…This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. …”
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Optimal Filtering of Linear System Driven by Fractional Brownian Motion by Misiran, Masnita, Wu, C., Lu, Z., Teo, Kok Lay

Subjects: “…fractional Brownian motion…”
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Geometric fractional Brownian motion model for commodity market simulation by Ibrahim, Siti Nur Iqmal, Misiran, Masnita, Laham, Mohamed Faris

“…The geometric Brownian motion (GBM) model is a mathematical model that has been used to model asset price paths. …”
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Pricing currency options by generalizations of the mixed fractional brownian motion by Shokrollahi, Foad

Subjects: “…Brownian motion processes…”
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Geometric Brownian motion and calculation of option premium in black scholes model by Mat, Izzati, Pah, Chin Hee

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Modelling Malaysian gold prices using geometric brownian motion model by Hamdan, Zawin Najah, Ibrahim, Siti Nur Iqmal, Mustafa, Mohd Shafie

“…In this study, we use geometric Brownian motion, a mathematical model, to represent the future price path for Malaysian gold prices, namely Kijang Emas. …”
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Pricing currency option in a mixed fractional Brownian motion with jumps environment by Shokrollahi, Foad, Kilicman, Adem

“…A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a mixed fractional Brownian motion with jumps. The jump mixed fractional partial differential equation is obtained. …”
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Performance of Brownian-Motion-Generated universal portfolios during covid-19 pandemic by Khor, Wei Sheng

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Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India by Krishna Prasad, Lionel Pereira, Nandan Prabhu, Pavithra S.

“…This research examines whether stock prices in the Indian stock markets follow a Geometric Brownian Motion (GBM). This study is keen on knowing if one can predict the simulated stock prices accurately against the actual stock prices. …”
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Effectiveness of geometric brownian motion method in predicting stock prices: evidence from India by Prasad, Krishna, Prabhu, Bhuvana, Pereira, Lionel, Prabhu, Nandan, S, Pavithra

“…This research examines whether stock prices in the Indian stock markets follow a Geometric Brownian Motion (GBM). This study is keen on knowing if one can predict the simulated stock prices accurately against the actual stock prices. …”
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Simulating rubber prices under geometric fractional Brownian motion with different Hurst estimators by Balasubramaniam, Srivennila Sri, Ibrahim, Siti N.

“…This research focuses on the simulation of rubber prices using geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM). …”
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Autocorrelated process control: Geometric Brownian Motion approach versus Box-Jenkins approach by Salleh, R. M., Zawawi, N. I., Gan, Z. F., Nor, M. E.

“…Therefore, an alternative method which known as Geometric Brownian Motion (GBM) is introduced to monitor the autocorrelated process. …”
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Estimating dynamic geometric fractional brownian motion and its application to long-memory option pricing by Misiran, M., Zudi, L., Teo, Kok Lay, Grace, A.

“…Geometric fractional Brownian motion (GFBM) is an extended dynamic model of the traditional geometric Brownian motion, and has been used in characterizing the long term memory dynamic behavior of financial time series and in pricing long-memory options. …”
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Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option by Shokrollahi, Foad, Kilicman, Adem

“…This research aims to investigate the strategy of fair insurance premium actuarial approach for pricing currency option, when the value of foreign currency option follows the mixed fractional Brownian motion with jumps and the European call and put currency option are presented. …”
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Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion by S. N. I., Ibrahim, M. F., Laham

“…Mixed fractional Brownian motion (MFBM) is a linear combination of a Brownian motion and an independent fractional Brownian motion which may overcome the problem of arbitrage, while a jump process in time series is another problem to be address in modeling stock prices. …”
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Integrating cluster analysis, geometric brownian motion and analytic hierarchy process in capital allocation / Siti Nazifah Zainol Abidin by Zainol Abidin, Siti Nazifah

“…The mathematical models involved are cluster analysis, geometric Brownian motion and analytic hierarchy process. The effectiveness of the proposed method is tested on a real investment situation in Bursa Malaysia involving small size companies. …”
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Fuzzy time series and geometric brownian motion in forecasting stock prices in Bursa Malaysia / Nur Ezzati Dayana Mohd Ramli by Mohd Ramli, Nur Ezzati Dayana

“…Two models for forecasting stock prices data are employed, namely, Fuzzy Time Series (FTS) and Geometric Brownian Motion (GBM). This study used a secondary data consisting of Air Asia Berhad daily stock prices for a duration of 20 weeks from January 2015 to May 2015. …”
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Combining Geometric Brownian Motion model and multiple linear regression model for predicting Kijang Emas selling price / Basyirah Che Mat by Che Mat, Basyirah

“…The objectives of this research are to investigate the factors that affect the fluctuation of Kijang Emas gold prices, to develop forecasting model by using Multiple Linear Regression (MLR) method according to the factors that affect the Kijang Emas gold prices and to enhance the forecasting method by combining two individual methods, Geometric Brownian Motion (GBM) and MLR method. In order to improve the accuracy of the forecast, the combination of both forecast methods is proposed and it is done by using two combinations of forecasts methods; Simple Equal Weighted Average and Inverse Mean Square Forecast Error Combination method. …”
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Optimal filtering of linear system driven by fractional brownian motion by Misiran, Masnita, Wu, Changzi, Lu, Zudi, Teo, K. L.

“…In this paper, we consider a continuous time filtering of a multi-dimensional Langevin stochastic differential system driven by a fractional Brownian motion process.It is shown that this filtering problem is equivalent to an optimal control proble m involving convolutional integrals in its dynamical system.Then, a novel approximation scheme is developed and applied to this optimal control problem.It yields a sequence of standard optimal control problems.The convergence of the approximate standard optimal control problem to the optimal control problem involving convolutional integrals in its system dynamics is established.Two numerical examples are solved by using the method proposed.The results obtained clearly demonstrate its efficiency and effectiveness.…”
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