Matches in SemOpenAlex for { <https://semopenalex.org/work/W2210292282> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2210292282 abstract "We take another look at arithmetic Brownian motion as a framework for developing financial derivatives valuation and risk management tools. We compare and contrast option valuation based on geometric Brownian motion and arithmetic Brownian motion. An alternative way to handle negative stock prices within the arithmetic Brownian motion approach is identified that is more consistent with empirical observation than the traditional approach of assuming no possibility of zero prices within the geometric Brownian motion. After comparing a wide array of sensitivities with both models, we discuss numerous strengths and weakness of both approaches. Option valuation based on arithmetic Brownian motion appears to be a credible additional tool for financial quantitative analysis." @default.
- W2210292282 created "2016-06-24" @default.
- W2210292282 creator A5047641327 @default.
- W2210292282 creator A5079865675 @default.
- W2210292282 date "2013-01-01" @default.
- W2210292282 modified "2023-09-23" @default.
- W2210292282 title "Another Look at Option Valuation Based on Arithmetic Brownian Motion" @default.
- W2210292282 cites W140323130 @default.
- W2210292282 cites W1503295912 @default.
- W2210292282 cites W1592940997 @default.
- W2210292282 cites W1778428835 @default.
- W2210292282 cites W1967816080 @default.
- W2210292282 cites W1985018066 @default.
- W2210292282 cites W1990664633 @default.
- W2210292282 cites W1997157356 @default.
- W2210292282 cites W2003042442 @default.
- W2210292282 cites W2007700189 @default.
- W2210292282 cites W2009128256 @default.
- W2210292282 cites W2025161367 @default.
- W2210292282 cites W2026454108 @default.
- W2210292282 cites W2052635514 @default.
- W2210292282 cites W2059566307 @default.
- W2210292282 cites W2074567665 @default.
- W2210292282 cites W2077791698 @default.
- W2210292282 cites W2084748303 @default.
- W2210292282 cites W2100237634 @default.
- W2210292282 cites W2101678241 @default.
- W2210292282 cites W2107136434 @default.
- W2210292282 cites W2140911506 @default.
- W2210292282 cites W2146612430 @default.
- W2210292282 cites W2252953284 @default.
- W2210292282 cites W2320422155 @default.
- W2210292282 cites W3151910759 @default.
- W2210292282 doi "https://doi.org/10.2139/ssrn.2228288" @default.
- W2210292282 hasPublicationYear "2013" @default.
- W2210292282 type Work @default.
- W2210292282 sameAs 2210292282 @default.
- W2210292282 citedByCount "0" @default.
- W2210292282 crossrefType "journal-article" @default.
- W2210292282 hasAuthorship W2210292282A5047641327 @default.
- W2210292282 hasAuthorship W2210292282A5079865675 @default.
- W2210292282 hasConcept C10138342 @default.
- W2210292282 hasConcept C101615488 @default.
- W2210292282 hasConcept C105795698 @default.
- W2210292282 hasConcept C112401455 @default.
- W2210292282 hasConcept C136264566 @default.
- W2210292282 hasConcept C144237770 @default.
- W2210292282 hasConcept C162324750 @default.
- W2210292282 hasConcept C186027771 @default.
- W2210292282 hasConcept C2780378061 @default.
- W2210292282 hasConcept C33923547 @default.
- W2210292282 hasConcept C68710425 @default.
- W2210292282 hasConcept C94375191 @default.
- W2210292282 hasConceptScore W2210292282C10138342 @default.
- W2210292282 hasConceptScore W2210292282C101615488 @default.
- W2210292282 hasConceptScore W2210292282C105795698 @default.
- W2210292282 hasConceptScore W2210292282C112401455 @default.
- W2210292282 hasConceptScore W2210292282C136264566 @default.
- W2210292282 hasConceptScore W2210292282C144237770 @default.
- W2210292282 hasConceptScore W2210292282C162324750 @default.
- W2210292282 hasConceptScore W2210292282C186027771 @default.
- W2210292282 hasConceptScore W2210292282C2780378061 @default.
- W2210292282 hasConceptScore W2210292282C33923547 @default.
- W2210292282 hasConceptScore W2210292282C68710425 @default.
- W2210292282 hasConceptScore W2210292282C94375191 @default.
- W2210292282 hasLocation W22102922821 @default.
- W2210292282 hasOpenAccess W2210292282 @default.
- W2210292282 hasPrimaryLocation W22102922821 @default.
- W2210292282 hasRelatedWork W1531666629 @default.
- W2210292282 hasRelatedWork W1991825559 @default.
- W2210292282 hasRelatedWork W2045396471 @default.
- W2210292282 hasRelatedWork W2047845973 @default.
- W2210292282 hasRelatedWork W2210292282 @default.
- W2210292282 hasRelatedWork W2977836794 @default.
- W2210292282 hasRelatedWork W3123310357 @default.
- W2210292282 hasRelatedWork W356007614 @default.
- W2210292282 hasRelatedWork W47881987 @default.
- W2210292282 hasRelatedWork W803082899 @default.
- W2210292282 isParatext "false" @default.
- W2210292282 isRetracted "false" @default.
- W2210292282 magId "2210292282" @default.
- W2210292282 workType "article" @default.