The numerical model of the dynamics of asset prices

Eimutis Valakevičius

doi:10.15388/LMR.2006.30730

Articles

Eimutis Valakevičius

Kaunas University of Technology

Published 2023-09-21

https://doi.org/10.15388/LMR.2006.30730

PDF

Keywords

dynamics of asset prices
mixture of exponential distributions
Markov numerical model

How to Cite

Valakevičius, E. (2023) “The numerical model of the dynamics of asset prices”, Lietuvos matematikos rinkinys, 46(spec.), pp. 295–302. doi:10.15388/LMR.2006.30730.

Download Citation

Abstract

In the article is proposed the algorithm how to model the dynamics of asset prices by Markov process with continuous time and countable set of states.

PDF

This work is licensed under a Creative Commons Attribution 4.0 International License.

Downloads

Download data is not yet available.

Most read articles by the same author(s)

Mantas Landauskas, Eimutis Valakevičius, MCMC approach to modelling queuing systems , Lietuvos matematikos rinkinys: Vol. 51 (2010)
Mindaugas Šnipas , Eimutis Valakevičius, Application of mixture of exponentials distributions for modeling queuing systems , Lietuvos matematikos rinkinys: Vol. 48 (2008)
Mantas Landauskas, Eimutis Valakevičius, Analysis of pricing models for options , Lietuvos matematikos rinkinys: Vol. 50 (2009)
Rita Palivonaitė, Eimutis Valakevičius, Investigation of the barrier options pricing models , Lietuvos matematikos rinkinys: Vol. 50 (2009)
Mantas Landauskas, Eimutis Valakevičius, MCMC based modelling of queuing systems from empirical data , Lietuvos matematikos rinkinys: Vol. 52 (2011)
Eimutis Valakevičius, Markov model of option pricing , Lietuvos matematikos rinkinys: Vol. 47 (2007)
Akvilina Valaitytė, Eimutis Valakevičius, Influence of stochastic volatility for option pricing , Lietuvos matematikos rinkinys: Vol. 44 (2004)
Eimutis Valakevičius, On teaching mathematical modelling , Lietuvos matematikos rinkinys: Vol. 42 (2002)