Stochastic Differential Equations with Brownian Motion

Anthony Remy

Journal of Economics and Econometrics, 2018, vol. 61, issue 1, 62-95

Abstract: The present paper uses a stochastic differential equation approach to model virtual currency prices, where virtual currency prices follow a stochastic process. We estimate a Black–Scholes options pricing model using high-frequency virtual currency data. Finally, we use the estimated model to simulate and project virtual currency prices.

Keywords: Stochastic differential equation; Black–Scholes; options pricing model; virtual currency prices. (search for similar items in EconPapers)
JEL-codes: C61 C73 E31 E42 G12 (search for similar items in EconPapers)
Date: 2018
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