Browsing School of Biological, Physical, Mathematics & Actuarial Sciences by Subject "Dupire's equation"

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    • Estimation of market volatility-A case of logistic brownian motion 

      Oduor, D. B.; Ongati, N. Omolo; Okelo, N. B.; Onyango, Silas N. (International Journals of Marketing and Technology, 6/29/2013)
      In this paper, we have used the Dupire's equation to derive the volatility model when the asset price follows logistic Brownian motion. We have used the analysis of Brownian motion, logistic Brownian motion, derivation of ...