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Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1903
DC FieldValueLanguage
dc.contributor.authorBožin, Vladimiren_US
dc.contributor.authorLekić, V.en_US
dc.contributor.authorMilošević, Bojanaen_US
dc.contributor.authorObradović, Markoen_US
dc.date.accessioned2025-04-04T15:46:35Z-
dc.date.available2025-04-04T15:46:35Z-
dc.identifier.urihttps://research.matf.bg.ac.rs/handle/123456789/1903-
dc.description.abstractU 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.en_US
dc.description.abstractIn 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.en_US
dc.language.isootheren_US
dc.publisherBeograd : Saobraćajni fakulteten_US
dc.subjectmodelingen_US
dc.subjectstochastic processesen_US
dc.subjectoption pricingen_US
dc.subjectfinancial modelingen_US
dc.titleTestiranje konzistentnosti vremenski homogenih markovljevskih modela za cene akcija sa konkretnim podacimaen_US
dc.title.alternativeTesting consistency of time-homogeneous Markovian stock price models on real dataen_US
dc.typeConference Objecten_US
dc.relation.conferenceSimpozijum o operacionim istraživanjima-SYM-OP-IS(41 ; 2014 ; DIvčibare)en_US
dc.relation.publicationXLI Simpozijum o operacionim istraživanjima-SYM-OP-IS 2014 : zbornik radovaen_US
dc.identifier.urlhttp://www.symopis2023.mod.gov.rs/download/istorijat/XLI_Simpozijum_o_operacionim_istrazivanjima.pdf-
dc.contributor.affiliationReal and Complex Analysisen_US
dc.contributor.affiliationProbability and Mathematical Statisticsen_US
dc.contributor.affiliationProbability and Mathematical Statisticsen_US
dc.relation.isbn978-86-7395-325-0en_US
dc.description.rankM63en_US
dc.relation.firstpage648en_US
dc.relation.lastpage652en_US
item.languageiso639-1other-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairetypeConference Object-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.deptReal and Complex Analysis-
crisitem.author.deptProbability and Statistics-
crisitem.author.deptProbability and Statistics-
crisitem.author.orcid0009-0001-3845-453X-
crisitem.author.orcid0000-0001-8243-9794-
crisitem.author.orcid0000-0002-6826-3232-
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