Estimation of market volatility-A case of logistic brownian motion

dc.contributor.author	Oduor, D. B.
dc.contributor.author	Ongati, N. Omolo
dc.contributor.author	Okelo, N. B.
dc.contributor.author	Onyango, Silas N.
dc.date.accessioned	2020-08-20T10:16:29Z
dc.date.available	2020-08-20T10:16:29Z
dc.date.issued	6/29/2013
dc.description.abstract	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 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.identifier.issn	2248-1058 (online)
dc.identifier.uri	http://ir.jooust.ac.ke:8080/xmlui/handle/123456789/8828
dc.language.iso	en	en_US
dc.publisher	International Journals of Marketing and Technology	en_US
dc.subject	Volatility	en_US
dc.subject	Modeling	en_US
dc.subject	Brownian motion	en_US
dc.subject	differential equation	en_US
dc.subject	Dupire's equation	en_US
dc.title	Estimation of market volatility-A case of logistic brownian motion	en_US
dc.type	Article	en_US

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