@article{8e9d3f8bb3c14ecdb16a7e0a2980413c,
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.",
year = "2011",
month = jan,
doi = "10.1080/03610921003764167",
language = "???core.languages.en_GB???",
volume = "40",
pages = "2081--2103",
journal = "Communications in Statistics - Theory and Methods",
issn = "0361-0926",
number = "12",
}