Abstract
The Geometric Brownian Motion type process is commonly used to describe stock price movements and is basic for many option pricing models. In this paper a new methodology for recognizing Brownian functionals is applied to financial datasets in order to evaluate the compatibility between real financial data and the above modeling assumption. The method rests on using the volumetric term which appears in the factorization of the small–ball probability of a random curve.
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Bongiorno, E.G., Goia, A., Vieu, P. (2017). On the Geometric Brownian Motion assumption for financial time series. In: Aneiros, G., G. Bongiorno, E., Cao, R., Vieu, P. (eds) Functional Statistics and Related Fields. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-55846-2_9
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DOI: https://doi.org/10.1007/978-3-319-55846-2_9
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Publisher Name: Springer, Cham
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Online ISBN: 978-3-319-55846-2
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