The Optimal Limit Prices of Limit Orders under an Extended Geometric Brownian Motion with Bankruptcy Risk
In the Black and Scholes system, the underlying asset price model follows geometric Brownian motion (GBM) with no bankruptcy risk. While GBM is a commonly used model in financial markets, bankruptcy risk should be considered in the case of a severe economic crisis, such as that caused by the COVID-1...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-12-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/1/54 |