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Showing 1 to 1 of 1 for “"Weiner process"”.
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The Distribution of Individual Stock Returns in a Modified Black-scholes Option Pricing Model
… model will be defined by modifying the Weiner process. We use Monte Carlo simulations to generate estimated prices under specified parameters, and compare these prices to those simulated by the model using the Weiner process. It was found the Student-t distribution did a better job at …