Stochastic model for market stocks with strong resistance

Details Stochastic model for market stocks with strong resistance Stochastic model for market stocks with strong resistance

2006-08-02

arxiv.org/abs/physics/0608019v2

Physics

Physics and Society

Proceedings of the conference APFA5

Scientific paper

10.1016/j.physa.2007.02.024

We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a certain way we show that our model can be integrated in an exact way. The related problem of how to prize general securities that pay dividends at a continuous rate and earn a terminal payoff at maturity is solved via the martingale probability approach.

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