ESTIMATION OF MARKET VOLATILITY-A CASE OF LOGISTIC BROWNIAN MOTION
Journal Title: International Journal of Marketing and Technology - Year 2012, Vol 2, Issue 1
Abstract
In this paper, we have used the Dupire's equation to derive the volatility model when the asset price follows logistic Brownian motion. We have used the analysis of Brownian motion, logistic Brownian motion, derivation of Black-Scholes Merton differential equation using It^o process and It^o’s lemma and stochastic processes. We have also reviewed derivation of Dupire Volatility equation and used it's concept to derive a volatility model when the asset price follows logistic Brownian motion.
Authors and Affiliations
D. B. Oduor, N. Omolo Ongati, N. B. Okelo and Silas N. Onyango
Keywords
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