Black–Scholes’ model and Bollinger bands

Autor:	Xudong Huang, Weian Zheng, Wei Liu
Rok vydání:	2006
Předmět:	Statistics and Probability Computer Science::Computational Engineering Finance and Science Moving average Technical analysis Statistical and Nonlinear Physics Stock market Black–Scholes model Bollinger Bands Mathematical economics Stock price Mathematics
Zdroj:	Physica A: Statistical Mechanics and its Applications. 371:565-571
ISSN:	0378-4371
DOI:	10.1016/j.physa.2006.03.033
Popis:	Bollinger bands are well-known in stock market as a popular technical analysis tool. We found that Black–Scholes stock price model had this Bollinger bands property also. In this paper, we give the proof of this phenomenon, and give a new distribution of a statistics generated by the Bollinger bands.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::90db1c07083715961689890790c51b27 https://doi.org/10.1016/j.physa.2006.03.033 Zobrazit plný text záznamu Full Text from ScienceDirect