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Estimation of market volatility-A case of logistic brownian motion

dc.contributor.authorOduor, D. B.
dc.contributor.authorOngati, N. Omolo
dc.contributor.authorOkelo, N. B.
dc.contributor.authorOnyango, Silas N.
dc.date.accessioned2020-08-20T10:16:29Z
dc.date.available2020-08-20T10:16:29Z
dc.date.issued6/29/2013
dc.identifier.issn2248-1058 (online)
dc.identifier.urihttp://ir.jooust.ac.ke:8080/xmlui/handle/123456789/8828
dc.description.abstractIn 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 Black-Scholes Merton differential equation using It^o process and It^o's lemma and stochastic processes. We have also reviewed derivation of Dupire Volatility equation and used it's concept to derive a volatility model when the asset price follows logistic Brownian motion.en_US
dc.language.isoenen_US
dc.publisherInternational Journals of Marketing and Technologyen_US
dc.subjectVolatilityen_US
dc.subjectModelingen_US
dc.subjectBrownian motionen_US
dc.subjectdifferential equationen_US
dc.subjectDupire's equationen_US
dc.titleEstimation of market volatility-A case of logistic brownian motionen_US
dc.typeArticleen_US


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