Focus on Research in Contemporary Economics
Geometric Brownian motion approach to modelling stock prices
Yazarlar: Cigdem Topcu Guloksuz
Cilt 2 , Sayı 1 , 2021 , Sayfalar 53-63
Konular:-
DOI:
Anahtar Kelimeler:Random Walk,Brownian Motion,Geometric Brownian Motion,Ito's Lemma,Stock Prices,Return
Özet: In this paper, geometric Brownian motion is revisited as a mathematical model for the financial returns. The properties of geometric Brownian motion process which provide modelling the stock prices are discussed. An application study is conduct to present the performance of the revisited model.
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BibTex
KOPYALA
@article{2021, title={Geometric Brownian motion approach to modelling stock prices}, volume={2}, number={53–63}, publisher={Focus on Research in Contemporary Economics}, author={Cigdem Topcu Guloksuz}, year={2021} }
APA
KOPYALA
Cigdem Topcu Guloksuz. (2021). Geometric Brownian motion approach to modelling stock prices (Vol. 2). Vol. 2. Focus on Research in Contemporary Economics.
MLA
KOPYALA
Cigdem Topcu Guloksuz. Geometric Brownian Motion Approach to Modelling Stock Prices. no. 53–63, Focus on Research in Contemporary Economics, 2021.