The numerical model of the dynamics of asset prices

Eimutis Valakevičius

doi:10.15388/LMR.2006.30730

Articles

Eimutis Valakevičius

Kaunas University of Technology

Published 2023-09-21

https://doi.org/10.15388/LMR.2006.30730

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Keywords

dynamics of asset prices
mixture of exponential distributions
Markov numerical model

How to Cite

Valakevičius, E. (2023) “The numerical model of the dynamics of asset prices”, Lietuvos matematikos rinkinys, 46(spec.), pp. 295–302. doi:10.15388/LMR.2006.30730.

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Abstract

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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