Stochastic model for market stocks with strong resistance

Javier Villarroel

Papers from arXiv.org

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.

Date: 2006-08, Revised 2006-09
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/physics/0608019 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0608019

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().