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A Generalization of Geometric Brownian Motion with Applications |
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| Authors: | Yu-Sheng Hsu Cheng-Hsun Wu |
| Institution: | 1. Department of Mathematics , National Central University , Chung-Li , Taiwan hsu@math.ncu.edu.tw;3. Department of Mathematics , National Central University , Chung-Li , Taiwan |
| Abstract: | Although geometric Brownian motion has a great variety of applications, it can not cover all the random phenomena. The purpose of this article is to propose a model that generalizes geometric Brownian motion. We present some interesting applications of this model in financial engineering and statistical inferences for the unknown parameters. |
| Keywords: | Brownian motion First passage time Geometric Brownian motion Optimal portfolio selection problem Option pricing Perpetual warrant |