About this document
Black-Scholes Market Risk Modeling Guide by Gladys Gladys Mak is a document available to read on EtoBox.
The document discusses various stochastic processes used to model asset price movements, including discrete and continuous time processes, Markov processes, the Wiener process, generalized Wiener processes, Ito processes, Brownian motion, and geometric Brownian motion. Geometric Brownian motion is identified as the most widely used model of stock price behavior, with stock returns modeled as log-normally distributed with a drift rate and volatility parameter. An example is provided to illustrate how to calc
- Author
- Gladys Gladys Mak
- Language
- EN