Stochastic model for market stocks with strong resistance
Physics and Society
2009-11-13 v2 Pricing of Securities
Abstract
We present several models to describe the stochastic evolution of stocks that show some 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 is solved via the martingale probability approach.
Keywords
Cite
@article{arxiv.physics/0608019,
title = {Stochastic model for market stocks with strong resistance},
author = {Javier Villarroel},
journal= {arXiv preprint arXiv:physics/0608019},
year = {2009}
}
Comments
Proceedings of the conference APFA5