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Volatility Estimation Using European-Logistic Brownian Motion with Jump Diffusion Process
(International Journal of Mathematics And its Applications, 2020)
Volatility is the measure of how we are uncertain about the future of stock or asset prices. Black-Scholes model formed the foundation of stock or asset pricing. However, some of its assumptions like constant volatility ...
Estimation of market volatility-A case of logistic brownian motion
(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 ...