Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods > Probability theory and mathematical statistics in the economy

Stock price forecasts and stock option pricing

Author WangFuChang
Tutor LinJianHua
School Dalian University of Technology
Course Applied Mathematics
Keywords Filter Brownian motion Le Ornstein-Uhlenbeck process Stochastic differential equations Arbitrage Portfolio European options Black-Scholes formula Since the financial strategy
CLC F224.7
Type Master's thesis
Year 2000
Downloads 803
Quotes 0
Download Dissertation

This article uses mathematical modeling to study the stock price volatility in the stock market laws and related content , content related to stochastic differential equations and securities market theory . Mathematical model , combined with the knowledge of finance , the stock price forecasting two methods and European option pricing formula . Chapter 2 gives a description of stock price volatility , stochastic models - geometric Brownian motion model and the exponential Ornstein-Uhlenbeck process model , derived some properties , made ??some comparison on the two models . Chapter combination of stock price volatility model and technical indicators , made ??a prediction on the stock price , and better predict , and were compared with the results made ??according to the model of the second chapter . Chapter IV on the basis of the model of stock price volatility , combined with the nature of the stochastic differential equation and the European option to export a the stock European option pricing formula .

Related Dissertations
More Dissertations