El modelo matemático lognormal para valorar activos financieros: un enfoque didáctico

• Autores: Gemma Calbo Sanjuan
• Localización: Boletín de la Sociedad Puig Adam de profesores de matemáticas, ISSN 1135-0261, Nº. 81, 2009, págs. 13-25
• Idioma: español
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• Resumen

  • This paper provides two different ways to introduce the well-known model for describing the price of a financial asset. The model is usually called geometric Brownian motion. The first approach is based up to introduce uncertainty from deterministic framework for valuation of assets free of risk. The second one requires the introduction ofa special calculus namely Itô´s Calculus. This last topic is presented in an elementary way in order to take advantage in the classroom.