Login / Signup
Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing.
Viktor Stojkoski
Trifce Sandev
Lasko Basnarkov
Ljupco Kocarev
Ralf Metzler
Published in:
Entropy (2020)
Keyphrases
</>
option pricing
brownian motion
stochastic differential equations
differential equations
diffusion process
stochastic process
poisson process
optimal control
stock price
stochastic processes
heavy traffic
real option
bayesian networks
decision analysis
vector valued
closed form solutions
dynamic programming