The numerical model of the dynamics of asset prices
In the article is proposed the algorithm how to model the dynamics of asset prices by Markov process with continuous time and countable set of states.
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2023-09-01
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| Series: | Lietuvos Matematikos Rinkinys |
| Subjects: | |
| Online Access: | https://www.zurnalai.vu.lt/LMR/article/view/30730 |
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| Summary: | In the article is proposed the algorithm how to model the dynamics of asset prices by Markov process with continuous time and countable set of states.
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| ISSN: | 0132-2818 2335-898X |