This chapter will mainly discuss about Black Scholes model, which is applied in this research. The history of Black Scholes will be introduced followed by Geometric Brownian motion equation history. Besides these two, we will also explain briefly about financial application of gold share price. 2.2 Gold Share Price Shahriar Shafiee (2010) is concerned about global gold market and gold price forecasting. He stated that in practice, the price and production behavior of gold differs from most
values are random variables with certain probability distributions. The values of variables change continuously over time. Good examples of stochastic process among many are exchange rate and stock market fluctuations, blood pressure, temperature, Brownian motion, random walk. A Markov chain is a stochastic process where the past history of variables are irrelevant and only the present value is important for the predicting the future one. So Markov chain property can be expressed as: Pr(X_(n+1)=x┤| X_1=x_1
Brownian Motion It was the botanist Robert Brown\cite{Dmouji-2006} who first realized the Brownian Motion (also called Wiener process) when trying to describe the motion exhibited by particles immersed in a gas or liquid. The particles were essentially being bombarded by molecules present within the matter causing displacement or movement. Now as we look at the Brownian Motion from a financial perspective, in the modeling of financial market especially stock market, Brownian Motion plays an important
General Theory of Relativity and the Special Theory of Relativity, Einstein was able to create his Theory of Relativity which comprises of both theories. Other scientific discoveries that Einstein made are the existence of the photon, the theory of Brownian motion, the concept of Mass-energy equivalence, the photoelectric effect, the first quantum theory of specific heats, the Einstein-Brilloui-Keller method for finding the quantum mechanical version of a classical system , Bose-Einstein statistics and
it. Although gold will inflate at certain time, the trend is usually going upwards. Gold is a universal commodity that is va... ... middle of paper ... ...goodness of fit test. 1.5 Scope of Study The model used in this study is Geometric Brownian motion model. Historical and discrete method is used to estimate the parameters of the GBM model. The sample of data used is taken from http://www.investing.com/indices/ftse-malaysia-emas-historical-data, which observed from September 2010 to
1 Introduction2 OptionsAn option is a contract between a buyer and a seller that gives the right (butnot the obligation) to buy or sell the underlying asset for an agreed price ata later date. The agreed price in the contract is known as theStrike price.The date in the contract is known as theexpiration date. There are twobasic types of options; Call options and Put options. Most options are eitherEuropean or American options. But there are other options such as, Asianoptions or Look back options
Project value=NPV+Flexibility DCF and NPV The main approach in traditional financial method to value a project is the discounted cash flow (DCF) model. This model is... ... middle of paper ... ...wnian motion is described by: dS_t=μS_t dt+σS_t dW_t Where W_t is a Wiener process or Brownian motion, μ (the percentage drift) and σ (the percentage volatility) are constants. The price of a call option in a risk-neutral world is obtained as: Value of call options=[N(d_1 )×P]-[N(d_2 )×PV (EX)] Where d_1=(log
Computer Generated Images, or CGI, is a form of Computer Graphics design, and animations, that make a image look 3D. These images are shown all throughout the media world, industry, and business, such as print media, tv, movies, pictures, commercials, etc. CGI’s have improved rapidly on software that helps our world improve on computer generated imaging. CGI software’s is used to make graphical design for purposes like movies in the theater. CGI companies and software’s, has made the technology
logic to explore new mathematical concepts. Pythagoras of Samos was one of the foremost logical minds of this age. He is the inventor of abstract mathematics, and the founder of the “Pythagoras Theorem”. This theorem is still used today, in modern geometric equations The Hindu / Arabian Period (500A.D. – 1199A.D.), gave us Aryabhata the Elder and Muhammad ibn Musa al-Khowarizmi. Al-Khowarizmi wrote a very important Egyptian book titled “Al-jabr” His book helped to advance the study of algebra, and is
What is Monte Carlo simulation? Answer: Monte Carlo simulation is a technique that allows people to run simulation many times to obtain numerical results or distribution of an unknown probabilistic entity. It was invented by Stanislaw Ulam in the late 1940s at the Los Alamos National Laboratory and was named after the Monte Carlo Casino where Ulam’s uncle often gambled [1]. Why is it used in analysis (generally)? Answer: Monte Carlo simulation is a very flexible technique and could easily be adapted
determined that the fractal dimension is directly related to the voltage. The data also shows that the molarity is inversely related to the fractal dimension, but through research this was determined to be an error. Introduction A fractal is a geometric pattern that is repeated indefinitely that it cannot be represented with typical mathematics. Fractals can be seen in nature in the way minerals develop over time, the manner in which trees limbs shoot from the trunk, and the development of the
thought of things that were unheard of in many fields, and mathematics is no exception. Einstein soared in mathematics, by the time he was 15 he had a suburb grasp on calculus. He personally devised the general theory of relativity, which is the geometric theory of gravitation. Not to mention Einstein was a world class physicist, and also came up with the famous mass-energy equivalence, otherwise known by the expression “E = mc2”. Last but not least he took a major part in developing the quantum
CHAPTER 1 : INTRODUCTION Benoit Mandelbrot (1924-2010), scientist and mathematician who also worked at IBM, is known as the father of fractal geometry. Mandelbrot coined the word fractal in the late 1970s. Before the invention of computers, Fractals have come up as an important question. Fractal is a set, which is self–similar under magnification.[27] It is, however, remarked that many of the fractals and their similes go back to traditional mathematics and mathematicians of the past like George