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Regime-Switching Geometric Brownian Motion Process
The dataset used in this paper is a regime-switching geometric Brownian motion process with two distinct regimes (bullish and bearish markets) with parameter values for each... -
Merton's Optimal Portfolio Problem under Sporadic Bankruptcy
The dataset used in the paper is a stock market following a geometric Brownian motion and a riskless asset continuously compounded at a constant rate. The stock can go bankrupt,...