Κίνηση Brown και το μοντέλο Black-Scholes
Brown motion and the Black-Scholes model
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Keywords
Κίνηση Brown ; Στοχαστικές διαδικασίες ; Στοχαστικός λογισμός ; Χρηματοοικονομική ; Μοντέλο Black Scholes ; MartingalesAbstract
First of all, is presented a systematic study of Brownian motion. The first problem
one encounters with Brownian motion is its existence. One approach to this question is
to write down what the finite-dimensional distributions of this process must be, and then
to construct a probability measure and a process on an appropriate measurable space in
such a way that we obtain the prescribed finite-dimensional distributions.
A more elegant approach for Brownian motion is close in spirit to Wiener’s (1923)
original construction, which was modified by Levy (1948) and later further simplified
by Ciesielski (1961). Finally, the Black-Scholes model is analyzed as an application of
Brownian motion.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
143Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές