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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| 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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| _version_ | 1825197267322142720 |
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| author | Eimutis Valakevičius |
| author_facet | Eimutis Valakevičius |
| author_sort | Eimutis Valakevičius |
| collection | DOAJ |
| description |
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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| format | Article |
| id | doaj-art-b3be013de0bd47629759b04afdad12f2 |
| institution | Kabale University |
| issn | 0132-2818 2335-898X |
| language | English |
| publishDate | 2023-09-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Lietuvos Matematikos Rinkinys |
| spelling | doaj-art-b3be013de0bd47629759b04afdad12f22025-02-11T18:12:36ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2023-09-0146spec.10.15388/LMR.2006.30730The numerical model of the dynamics of asset pricesEimutis Valakevičius0Kaunas University of Technology 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. https://www.zurnalai.vu.lt/LMR/article/view/30730dynamics of asset pricesmixture of exponential distributionsMarkov numerical model |
| spellingShingle | Eimutis Valakevičius The numerical model of the dynamics of asset prices Lietuvos Matematikos Rinkinys dynamics of asset prices mixture of exponential distributions Markov numerical model |
| title | The numerical model of the dynamics of asset prices |
| title_full | The numerical model of the dynamics of asset prices |
| title_fullStr | The numerical model of the dynamics of asset prices |
| title_full_unstemmed | The numerical model of the dynamics of asset prices |
| title_short | The numerical model of the dynamics of asset prices |
| title_sort | numerical model of the dynamics of asset prices |
| topic | dynamics of asset prices mixture of exponential distributions Markov numerical model |
| url | https://www.zurnalai.vu.lt/LMR/article/view/30730 |
| work_keys_str_mv | AT eimutisvalakevicius thenumericalmodelofthedynamicsofassetprices AT eimutisvalakevicius numericalmodelofthedynamicsofassetprices |