Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 28 for “"Geometric Brownian Motion"”.
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Analysis of Exponential Filter Time Series Operators of Geometric Brownian Motion in Trading Strategies
Trading strategies based on moving average indicators have been analyzed in the academic literature numerous times using historical data to make statistical inferences about various properties such as expected returns. In this work, a deductive model is assumed where asset price dynamics are driven …
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Markov-Switching models and resultant equity implied volatility surfaces: a South African application
Standard Geometric Brownian Motion is the stock model underlying Black-Scholes famous option pricing formula. There are however numerous problems with this stock model as certain features do not follow some empirical stylised facts we see from the observation of actual asset prices. In particular, …
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Geometric Asian option: Geometric Ornstein-Uhlenbeck process
… assumption that the underlying asset follows a geometric Brownian motion. This dissertation, however, assumes that the underlying asset follows a geometric Ornstein-Uhlenbeck process and provides an explicit formula for the geometric Asian options. The geometric Ornstein-Uhlenbeck process is …
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Modelling energy markets and pricing energy derivatives
… markets and tests the appropriateness of the Geometric Brownian Motion process to explain the observed dynamics of the spot prices in these markets. We also provide spreadsheet based computer algorithms to price popular energy derivatives based on the Geometric Brownian Motion specifications. …
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… We compare the Ornstein-Uhlenbeck process and geometric Brownian motion for modeling the Gaussian component, and the self-exciting process and compound Poisson process for the jump component. Through visual analysis and Monte Carlo simulations, results indicate that the combination of an …
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Pricing equity options on multiple underlyings in the South African context
… framework that assumes that asset prices follow geometric Brownian Motion does not explain option prices observed in the market. In particular much work has been done trying to explain the volatility skew.
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Functional quantization-based stratified sampling
… both create functional quantizers and to sample Brownian paths from the strata defined by the quantizers. We show that product quantizers are a suitable approximation of an optimal quantizer for the formation of functional quantizers. The notion of functional stratification is then extended to …
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Option Pricing in Non-Competitive Markets
… options) under the supply curve model in a geometric Brownian motion model is studied. In Chapter 3, local risk minimization method is used to pricing European options with liquidity cost in a jump-diffusion model. In chapter 4, utility indifference pricing method is applied to pricing …
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Modelling long-term security returns
… is introduced to model log returns. The Geometric Brownian Motion (GBM) model is employed to predict and evaluate returns on common stocks using the Maximum Likelihood Estimator (MLE), assuming that daily log returns follow a normal distribution. Additionally, the Merton Jump Diffusion …
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Employee Stock Option Valuation with Earnings-Based Vesting Condition
… an underlying EBIT process that is governed by a geometric Brownian motion. The model also accounts for taxation and bankruptcy. The research aim is addressed by incorporating the capital structure model into our employee stock option pricing framework.
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CKLS modelio silpnosios aproksimacijos diskrečiaisiais atsitiktiniais dydžiais /
… cases of the model are the Vašiček model, a geometric Brownian motion, the CIR model, etc. The solution of the CKLS model is not known in explicit form, and therefore numerical methods are constructed. We construct first- and second-order weak approximations for the CKLS model using …
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Weak approximations of CKLS model by discrete random variables /
… cases of the model are the Vašiček model, a geometric Brownian motion, the CIR model, etc. The solution of the CKLS model is not known in explicit form, and therefore numerical methods are constructed. We construct first- and second-order weak approximations for the CKLS model using …
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European and American Option Pricing with a Geometric Markov Renewal Process Underlying Asset Model
… pricing of American and European options under a Geometric Markov Renewal Process (GMRP) as the underlying asset model. We provide a detailed overview of the GMRP. Discussions of Markov processes, Geometric Brownian Motion, and GMRP approximation techniques are presented. We discuss the Aase …
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Essays on Semiparametric Methods in Finance
… model is compared to a theoretical model of geometric Brownian motion, diagnostics reveal the semiparametric model outperforms the hypothetical model. The empirical findings are that information flow variables, such as volume, spreads and trading imbalances, predict more rapid price …
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A reinforcement learning algorithm for efficient dynamic trading execution in the presence of signals
… dynamic programming methods for the case of geometric brownian motion prices with linear relative price impact. In the most relevant case, when a signal containing information about prices is introduced to the environment, traditional computational methods become intractable. My algorithm …
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Optimal operating strategy for a storage facility
… and without seasonal factors, the one-factor geometric Brownian motion price process with and without seasonal factors, and the two-factor short-term/long-term price process with and without seasonal factors. I prove the existence of the unique optimal trigger prices, and calculate the trigger …
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Interaction effects within factor investing in a South African context
… paths, in a Mil'shtein (1974) fashion, using Geometric Brownian Motion with a stochastic alpha component added to the drift. Factors are simulated randomly using correlated uniform distributions. The controlled model uses realistic market parameters and constructs the factor portfolio in the …
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Demand forecasting and decision making under uncertainty for long-term production planning in aviation industry
… for commercial aircraft models. A modified Brownian motion model is developed to account for dependency between observations. Geometric Brownian motion at different starting points is used to accurately account for increasing variation. A comparison of the modified Brownian motion and …
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A generalized real options methodology for evaluating investments under uncertainty with application to air transportation
… that limit their utility, such as the use of the geometric Brownian motion to model the value of the underlying asset and the assumption of a fixed cost to exercise the option. In this thesis, an alternative real options methodology is developed that overcomes some of the difficulties of …
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Vessel valuation : an options approach
… is presented. It is proposed to abandon the Geometric Brownian motion and, instead, to apply a mean reverting process, such as the OmsteinUhlenbeck process, to replicate the freight rates. Based on these findings, closed form option valuation tools are applied to a Panamax vessel type for one …
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