| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 979605 | Physica A: Statistical Mechanics and its Applications | 2007 | 9 Pages |
Abstract
We present a model to describe the stochastic evolution of stocks that show a strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a certain way we show that our model can be integrated in an exact way. The related problem of how to prize general securities that pay dividends at a continuous rate and earn a terminal payoff at maturity TT is solved via the martingale probability approach.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Javier Villarroel,