This research examines whether stock prices in the Indian markets follow a Geometric Brownian Motion (GBM). study is keen on knowing if one can predict simulated accurately against actual prices. One-year, three-year, and five-year data of historical 50 stocks listed S&P BSE (Bombay Stock Exchange) Sensex Index were employed as base to using Monte Carlo simulation's GBM method. investigates...

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we rst show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for the ...

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for th...

A type of optimal investment problem can be regarded as an optimal stopping problem in the field of applied stochastic analysis. This study derives the existence conditions of the optimal stopping time when the stochastic process is a geometric Brownian motion or an arithmetic Brownian motion. The conditions concern the intrinsic value function and are natural extensions of the certainty case. ...

The present analysis deals with an unsteady magnetohydrodynamic flow of Eyring-Powell nanofluid over an inclined permeable stretching sheet. Effects of thermal radiation, Joule heating, and chemical reaction are considered. The effects of Brownian motion and thermophoresis on the flow over the permeable stretching sheet are discussed. Using Runge-Kutta fourth-order along with shooting technique...

The present investigation draws scholars' attention to the effect of exponential variable viscosity modeled by Vogel and variable permeability on stagnation point flow of Carreau Nanofluid over an electromagnetic plate through a porous medium. Brownian motion and thermophoretic diffusion mechanism are taken into consideration. An efficient fourth-order RK method along with shooting technique ar...

We consider a non-consuming agent interested in the maximization of the long-run growth rate of a wealth process investing either in a money market and in one risky asset following a geometric Brownian motion or in futures following an arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how t...

Consider an open set D ⊂ R , d ≥ 2, and a closed ball B ⊂ D. Let E TB denote the expectation of the hitting time of B for reflected Brownian motion in D starting from x ∈ D. We say that D is a trap domain if supx ETB = ∞. A domain D is not a trap domain if and only if the reflecting Brownian motion in D is uniformly ergodic. We fully characterize the simply connected planar trap domains using a...