A generalization of geometric Brownian motion with applications

Yu Sheng Hsu; Cheng Hsun Wu

doi:10.1080/03610921003764167

A generalization of geometric Brownian motion with applications

Yu Sheng Hsu, Cheng Hsun Wu

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.

Original language	English
Pages (from-to)	2081-2103
Number of pages	23
Journal	Communications in Statistics - Theory and Methods
Volume	40
Issue number	12
DOIs	https://doi.org/10.1080/03610921003764167
State	Published - Jan 2011

Keywords

Brownian motion
First passage time
Geometric Brownian motion
Optimal portfolio selection problem
Option pricing
Perpetual warrant

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10.1080/03610921003764167

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title = "A generalization of geometric Brownian motion with applications",

abstract = "Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.",

keywords = "Brownian motion, First passage time, Geometric Brownian motion, Optimal portfolio selection problem, Option pricing, Perpetual warrant",

author = "Hsu, {Yu Sheng} and Wu, {Cheng Hsun}",

note = "Funding Information: Both authors thank the Editor-in-Chief, Editor, and Referees for their assistance. The work of the first author was supported by grants NSC 94-2118-M-008-007 and NSC 96-2118-M-008-002 offered by National Science Council, Taiwan.",

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N2 - Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.

AB - Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters.

KW - Brownian motion

KW - First passage time

KW - Geometric Brownian motion

KW - Optimal portfolio selection problem

KW - Option pricing

KW - Perpetual warrant

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M3 - 期刊論文

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JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 12

ER -

A generalization of geometric Brownian motion with applications

Abstract

Keywords

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