Constant elasticity of variance model: An application in the stock market of Lima

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The objective of this article is to present the constant elasticity of variance model, its main probabilistic aspects, and we implement the stochastic Runge Kutta method to simulate the sample trajectories based on the data of the CREDITC1 asset of the Bank of Credit from Perú taken from the Lima st...

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Detalles Bibliográficos
Autores: Quispe S., Dennis, Rubio, Obidio
Formato: artículo
Fecha de Publicación:2022
Institución:Universidad Nacional de Trujillo
Repositorio:Revistas - Universidad Nacional de Trujillo
Lenguaje:español
OAI Identifier:oai:ojs.revistas.unitru.edu.pe:article/2819
Enlace del recurso:https://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819
Nivel de acceso:acceso abierto
Materia:Constant elasticity of variance
stochastic differential equation
elasticity factor
stochastic Runge Kutta method
Lima stock exchange
Elasticidad constante de la varianza
Ecuación diferencial estocástica
factor de elasticidad
método de Runge Kutta estocástico
bolsa de valores de Lima
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spelling Constant elasticity of variance model: An application in the stock market of LimaModelo con elasticidad constante de la varianza: Una aplicación en la Bolsa de Valores de LimaQuispe S., DennisRubio, ObidioConstant elasticity of variancestochastic differential equationelasticity factorstochastic Runge Kutta methodLima stock exchangeElasticidad constante de la varianzaEcuación diferencial estocásticafactor de elasticidadmétodo de Runge Kutta estocásticobolsa de valores de LimaThe objective of this article is to present the constant elasticity of variance model, its main probabilistic aspects, and we implement the stochastic Runge Kutta method to simulate the sample trajectories based on the data of the CREDITC1 asset of the Bank of Credit from Perú taken from the Lima stock exchange.El objetivo de este artículo es presentar el modelo con elasticidad constante de la varianza, sus principales aspectos probabilísticos, así como implementar el método de Runge Kutta estocástico para simular las trayectorias muestrales en base a la data del activo CREDITC1 del Banco de Crédito del Perú tomada de la bolsa de valores de Lima.National University of Trujillo - Academic Department of Mathematics2022-07-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819Selecciones Matemáticas; Vol. 9 No. 01 (2022): January - July; 79 - 90Selecciones Matemáticas; Vol. 9 Núm. 01 (2022): Enero - Julio; 79 - 90Selecciones Matemáticas; v. 9 n. 01 (2022): Janeiro - Julho; 79 - 902411-1783reponame:Revistas - Universidad Nacional de Trujilloinstname:Universidad Nacional de Trujilloinstacron:UNITRUspahttps://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819/5001Derechos de autor 2022 Selecciones Matemáticashttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessoai:ojs.revistas.unitru.edu.pe:article/28192022-07-27T15:32:31Z
dc.title.none.fl_str_mv Constant elasticity of variance model: An application in the stock market of Lima
Modelo con elasticidad constante de la varianza: Una aplicación en la Bolsa de Valores de Lima
title Constant elasticity of variance model: An application in the stock market of Lima
spellingShingle Constant elasticity of variance model: An application in the stock market of Lima
Quispe S., Dennis
Constant elasticity of variance
stochastic differential equation
elasticity factor
stochastic Runge Kutta method
Lima stock exchange
Elasticidad constante de la varianza
Ecuación diferencial estocástica
factor de elasticidad
método de Runge Kutta estocástico
bolsa de valores de Lima
title_short Constant elasticity of variance model: An application in the stock market of Lima
title_full Constant elasticity of variance model: An application in the stock market of Lima
title_fullStr Constant elasticity of variance model: An application in the stock market of Lima
title_full_unstemmed Constant elasticity of variance model: An application in the stock market of Lima
title_sort Constant elasticity of variance model: An application in the stock market of Lima
dc.creator.none.fl_str_mv Quispe S., Dennis
Rubio, Obidio
author Quispe S., Dennis
author_facet Quispe S., Dennis
Rubio, Obidio
author_role author
author2 Rubio, Obidio
author2_role author
dc.subject.none.fl_str_mv Constant elasticity of variance
stochastic differential equation
elasticity factor
stochastic Runge Kutta method
Lima stock exchange
Elasticidad constante de la varianza
Ecuación diferencial estocástica
factor de elasticidad
método de Runge Kutta estocástico
bolsa de valores de Lima
topic Constant elasticity of variance
stochastic differential equation
elasticity factor
stochastic Runge Kutta method
Lima stock exchange
Elasticidad constante de la varianza
Ecuación diferencial estocástica
factor de elasticidad
método de Runge Kutta estocástico
bolsa de valores de Lima
description The objective of this article is to present the constant elasticity of variance model, its main probabilistic aspects, and we implement the stochastic Runge Kutta method to simulate the sample trajectories based on the data of the CREDITC1 asset of the Bank of Credit from Perú taken from the Lima stock exchange.
publishDate 2022
dc.date.none.fl_str_mv 2022-07-27
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819
url https://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819
dc.language.none.fl_str_mv spa
language spa
dc.relation.none.fl_str_mv https://revistas.unitru.edu.pe/index.php/SSMM/article/view/2819/5001
dc.rights.none.fl_str_mv Derechos de autor 2022 Selecciones Matemáticas
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Derechos de autor 2022 Selecciones Matemáticas
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv National University of Trujillo - Academic Department of Mathematics
publisher.none.fl_str_mv National University of Trujillo - Academic Department of Mathematics
dc.source.none.fl_str_mv Selecciones Matemáticas; Vol. 9 No. 01 (2022): January - July; 79 - 90
Selecciones Matemáticas; Vol. 9 Núm. 01 (2022): Enero - Julio; 79 - 90
Selecciones Matemáticas; v. 9 n. 01 (2022): Janeiro - Julho; 79 - 90
2411-1783
reponame:Revistas - Universidad Nacional de Trujillo
instname:Universidad Nacional de Trujillo
instacron:UNITRU
instname_str Universidad Nacional de Trujillo
instacron_str UNITRU
institution UNITRU
reponame_str Revistas - Universidad Nacional de Trujillo
collection Revistas - Universidad Nacional de Trujillo
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1843984363860000768
score 13.042316
Constant elasticity of variance model: An application in the stock market of Lima
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