Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11861/6493
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cheung, Michael Tow | en_US |
dc.contributor.author | Prof. YEUNG Wing Kay, David | en_US |
dc.contributor.author | Lai, Alfred | en_US |
dc.date.accessioned | 2021-03-06T06:22:45Z | - |
dc.date.available | 2021-03-06T06:22:45Z | - |
dc.date.issued | 1993 | - |
dc.identifier.citation | In Karmann, A., Mosler, K., Schader, M., & Uebe, G. (eds.) (1993). Operations Research ’92 (pp. 541-543). | en_US |
dc.identifier.isbn | 9783790806793 | - |
dc.identifier.isbn | 9783662126295 | - |
dc.identifier.uri | http://hdl.handle.net/20.500.11861/6493 | - |
dc.description.abstract | Though geometric Brownian motion (GBM) is an essential tool in finance, a closed form solution for its transition density function has yet to be obtained. In option pricing, though Black and Scholes assumed GBM stock price dynamics, they transformed the problem to allow an option to be evaluated without the stock price’s transition density. This paper presents a closed form solution of Kolmogorov’s backward equation for GBM. As an application, the option price equation is derived directly. | en_US |
dc.language.iso | en | en_US |
dc.title | On the use of geometric brownian motion in financial analysis | en_US |
dc.type | Book Chapter | en_US |
dc.identifier.doi | 10.1007/978-3-662-12629-5_149 | - |
item.fulltext | No Fulltext | - |
crisitem.author.dept | Department of Economics and Finance | - |
Appears in Collections: | Economics and Finance - Publication |
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