Browsing by Author "Landauskas, Mantas"
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Modelling of stock prices by the Markov chain Montecarlo method
Landauskas, Mantas; Valakevičius, EimutisThis paper presents a universal approach to modelling stock prices. The technique involves Markov Chain Monte Carlo (MCMC) sampling from piecewise-uniform distribution. Today’s fi nancial models are based on assumptions ...