Black–Scholes’ model and Bollinger bands

Wei Liu, Xudong Huang and Weian Zheng

Physica A: Statistical Mechanics and its Applications, 2006, vol. 371, issue 2, 565-571

Abstract: Bollinger bands are well-known in stock market as a popular technical analysis tool. We found that Black–Scholes stock price model had this Bollinger bands property also. In this paper, we give the proof of this phenomenon, and give a new distribution of a statistics generated by the Bollinger bands.

Keywords: Black–Scholes model; Bollinger bands; Moving average; Stationary process; Stationary distribution (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:371:y:2006:i:2:p:565-571

DOI: 10.1016/j.physa.2006.03.033

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