Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1903
Title: Testiranje konzistentnosti vremenski homogenih markovljevskih modela za cene akcija sa konkretnim podacima
Other Titles: Testing consistency of time-homogeneous Markovian stock price models on real data
Authors: Božin, Vladimir 
Lekić, V.
Milošević, Bojana 
Obradović, Marko 
Affiliations: Real and Complex Analysis 
Probability and Mathematical Statistics 
Probability and Mathematical Statistics 
Keywords: modeling;stochastic processes;option pricing;financial modeling
Rank: M63
Publisher: Beograd : Saobraćajni fakultet
Related Publication(s): XLI Simpozijum o operacionim istraživanjima-SYM-OP-IS 2014 : zbornik radova
Conference: Simpozijum o operacionim istraživanjima-SYM-OP-IS(41 ; 2014 ; DIvčibare)
Abstract: 
U ovom radu na osnovu goog podataka za cene opcija izvršena je analiza, kako bi se utvrdilo da li su oni u skladu sa vremenski homogenim Markovljevskim modelom za cene akcija na berzi. Rezultati su pokazali da to nije slucaj i da očekivana stepena veza izmedju modula karakterističnih funkcija ne važi.

In this paper, based on data for goog option prices, analysis was performed in order to determine
whether they are consistent with time-homogeneous Markov model for the price of shares on the stock
exchange. The results showed that this was not the case and that the expected power law connecting modules
of characteristic functions does not hold.
URI: https://research.matf.bg.ac.rs/handle/123456789/1903
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