Browsing International Conference by Subject "GEOMETRIC BROWNIAN MOTION"

Browsing International Conference by Subject "GEOMETRIC BROWNIAN MOTION"

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  • Permana, Ferry Jaya; Lesmono, Julius Dharma; Chendra, Erwinna (Institute for Mathematical Research, Universiti Putra Malaysia, 2009)
    Modeling commodity price process represented by a stochastic differential equation is essential for developing the risk managent tools, e.g., options, besides for forecasting future prices. However, gold has spesific ...
  • Pratikto, Fransiscus Rian; Gracia, Clarissa (Universitas Kristen Krida Wacana Jakarta, 2017)
    Real options valuation (ROV) has been a very useful tool for valuing risky asset under uncertainty. Unlike the discounted cash flow (DCF), ROV incorporates the uncertainty of project cash flow and investor’s flexibility ...

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