Stock price forecasts and stock option pricing
|School||Dalian University of Technology|
|Keywords||Filter Brownian motion Le Ornstein-Uhlenbeck process Stochastic differential equations Arbitrage Portfolio European options Black-Scholes formula Since the financial strategy|
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 .