Black-Scholes' model and Bollinger bands

被引：12
|
作者：
Liu, Wei [1 ]
Huang, Xudong
Zheng, Weian
机构：
[1] E China Normal Univ, Dept Stat, Shanghai 200062, Peoples R China
[2] Anhui Normal Univ, Coll Math & Comp Sci, Wahu 241000, Peoples R China
[3] Univ Calif Irvine, Dept Math, Irvine, CA 92697 USA
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2006年 / 371卷 / 02期
关键词：
Black-Scholes model; Bollinger bands; moving average; stationary process; stationary distribution;
D O I：
10.1016/j.physa.2006.03.033
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：565 / 571
页数：7
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