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Stochastic Differential Equations with Brownian Motion

Author

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  • Anthony Remy

Abstract

The present paper uses a stochastic differential equation approach to model virtual currency prices, where virtual currency prices follow a stochastic process. We estimate a Black–Scholes options pricing model using high-frequency virtual currency data. Finally, we use the estimated model to simulate and project virtual currency prices.

Suggested Citation

  • Anthony Remy, 2018. "Stochastic Differential Equations with Brownian Motion," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(1), pages 62-95.
    • Handle: RePEc:eei:journl:v:61:y:2018:i:1:p:62-95
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    More about this item

    Keywords

    Stochastic differential equation; Black–Scholes; options pricing model; virtual currency prices.;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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