On the Verhult-Logistic Brownian Motion Model for Pricing Option on Multiple Assets

Akeju A.O; Ayoola E.O

doi:https://doi.org/10.14445/22315373/IJMTT-V11P504

International Journal of Mathematics Trends and Technology

Research Article | Open Access | Download PDF

Volume 11 | Number 1 | Year 2014 | Article Id. IJMTT-V11P504 | DOI : https://doi.org/10.14445/22315373/IJMTT-V11P504

On the Verhult-Logistic Brownian Motion Model for Pricing Option on Multiple Assets

Akeju A.O, Ayoola E.O

Abstract

We develop a stochastic process that model the adjustment of the market price of a traded security involving multiple assets base on information affecting demand and supply of an asset. This is based on the Walrasian price adjustment assumption ,that change in price is due to excess demand. When supply and demand curve are linearised about the equilibrium point, the process becomes a logistics form of Brownian motion.

Keywords

Excess demand, Walrasian price adjustment process, Logistic Brownian Motion, Black Scholes Merton PDE, Multiple Asset MSC 60HI5, 60H30.

References

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Citation :

Akeju A.O, Ayoola E.O, "On the Verhult-Logistic Brownian Motion Model for Pricing Option on Multiple Assets," International Journal of Mathematics Trends and Technology (IJMTT), vol. 11, no. 1, pp. 40-45, 2014. Crossref, https://doi.org/10.14445/22315373/IJMTT-V11P504