Estimation Of Tail Parameter For Geometric Brownian Motion

Exact solutions for Fokker-Plank equation of geometric Brownian motion with Lie point symmetries

‎In this paper Lie symmetry analysis is applied to find new‎ solution for Fokker Plank equation of geometric Brownian motion‎. This analysis classifies the solution format of the Fokker Plank‎ ‎equation‎.

1 Geometric Brownian motion

where X(t) = σB(t) + μt is BM with drift and S(0) = S0 > 0 is the intial value. We view S(t) as the price per share at time t of a risky asset such as stock. Taking logarithms yields back the BM; X(t) = ln(S(t)/S0) = ln(S(t))− ln(S0). ln(S(t)) = ln(S0) +X(t) is normal with mean μt + ln(S0), and variance σ2t; thus, for each t, S(t) has a lognormal distribution. As we will see in Section 1.4: let...

Simulating Brownian motion ( BM ) and geometric Brownian

2) and 3) together can be summarized by: If t0 = 0 < t1 < t2 < · · · < tk, then the increment rvs B(ti) − B(ti−1), i ∈ {1, . . . k}, are independent with B(ti) − B(ti−1) ∼ N(0, ti − ti−1) (normal with mean 0 and variance ti − ti−1). In particular, B(ti) − B(ti−1) is independent of B(ti−1) = B(ti−1)−B(0). If we only wish to simulate B(t) at one fixed value t, then we need only generate a unit no...

Sigman 1 Geometric Brownian motion

On the Integral of Geometric Brownian Motion

Abstract. This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform ansatz of [Y] with complex analytic methods, which is the main methodological contribution of the paper. The one of our integrals has a similar structur...