Vol. 2012, 2012July 01, 2012 EDT
Stochastic GBM Methods for Modeling Market Prices
Stochastic GBM Methods for Modeling Market Prices
James P McNichols,
Dynamic Risk ModelsCapital AllocationGeometric Brownian MotionOptions Market VolatilityStochastic ProcessMarkov ProcessItô’s LemmaEconomic Scenario Generator
McNichols, James P. 2012. “Stochastic GBM Methods for Modeling Market Prices.” CAS Forum 2012 (July).
