Constant elasticity of variance model: An application in the stock market of Lima

Authors

  • Dennis Quispe S. Departamento Académico de Matemáticas, Universidad Nacional de Trujillo, Perú.
  • Obidio Rubio Instituto de Investigación en Matemáticas, Universidad Nacional de Trujillo, Perú.

DOI:

https://doi.org/10.17268/sel.mat.2022.01.06

Keywords:

Constant elasticity of variance, stochastic differential equation, elasticity factor, stochastic Runge Kutta method, Lima stock exchange

Abstract

The objective of this article is to present the constant elasticity of variance model, its main probabilistic aspects, and we implement the stochastic Runge Kutta method to simulate the sample trajectories based on the data of the CREDITC1 asset of the Bank of Credit from Perú taken from the Lima stock exchange.

References

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Published

2022-07-27

How to Cite

Quispe S., D., & Rubio, O. (2022). Constant elasticity of variance model: An application in the stock market of Lima. Selecciones Matemáticas, 9(01), 79 - 90. https://doi.org/10.17268/sel.mat.2022.01.06

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