Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Sign Up to like & getrecommendations! Published in 2017 at "Advances in Applied Probability"
DOI: 10.1017/apr.2017.9
Abstract: Abstract The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a geometric… read more here.
Keywords: average geometric; geometric brownian; time average; time ... See more keywords
ON BOUNCING GEOMETRIC BROWNIAN MOTIONS
Sign Up to like & getrecommendations! Published in 2019 at "Probability in the Engineering and Informational Sciences"
DOI: 10.1017/s0269964818000463
Abstract: A pair of bouncing geometric Brownian motions (GBMs) is studied. The bouncing GBMs behave like GBMs except that, when they meet, they bounce off away from each other. The object of interest is the position… read more here.
Keywords: brownian motions; gbms; bouncing geometric; position ... See more keywords
Nonergodicity of reset geometric Brownian motion.
Sign Up to like & getrecommendations! Published in 2022 at "Physical review. E"
DOI: 10.1103/physreve.105.l012106
Abstract: We derive. the ensemble- and time-averaged mean-squared displacements (MSD, TAMSD) for Poisson-reset geometric Brownian motion (GBM), in agreement with simulations. We find MSD and TAMSD saturation for frequent resetting, quantify the spread of TAMSDs via… read more here.
Keywords: brownian motion; geometric brownian; reset geometric; nonergodicity reset ... See more keywords
Time-averaging and nonergodicity of reset geometric Brownian motion with drift.
Sign Up to like & getrecommendations! Published in 2022 at "Physical review. E"
DOI: 10.1103/physreve.106.034137
Abstract: How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the future? Specifically, what are the long-time properties of a time-local exponential growth of stock-market prices under the influence of stochastically… read more here.
Keywords: brownian motion; time; geometric brownian; reset ... See more keywords
Geometric Brownian information engine: Essentials for the best performance.
Sign Up to like & getrecommendations! Published in 2022 at "Physical review. E"
DOI: 10.1103/physreve.107.044122
Abstract: We investigate a geometric Brownian information engine (GBIE) in the presence of an error-free feedback controller that transforms the information gathered on the state of Brownian particles entrapped in monolobal geometric confinement into extractable work.… read more here.
Keywords: information; brownian information; information engine; geometric brownian ... See more keywords