Stock Price Jump-diffusion Process Model Based on Fractional Brownian Motion Theory

DOI

10.2991/assehr.k.191221.090How to use a DOI?

Keywords

Stock price, Fractional Brownian motion, Jump-diffusion process, Numerical simulation

Abstract

In order to deal with the sudden change of stock price and simplify the empirical research, the jump-diffusion process factor of the fractional Brownian motion jump-diffusion process model is modified. The jump diffusion process item is approximated by the polynomial, and the numerical algorithm simulates the real stock price change. The model has fast convergence speed and high precision.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Hui Ma
AU  - Yang Li
PY  - 2020
DA  - 2020/01/09
TI  - Stock Price Jump-diffusion Process Model Based on Fractional Brownian Motion Theory
BT  - Proceedings of the 2019 3rd International Conference on Education, Economics and Management Research (ICEEMR 2019)
PB  - Atlantis Press
SP  - 374
EP  - 378
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.191221.090
DO  - 10.2991/assehr.k.191221.090
ID  - Ma2020
ER  -