BibTex Citation Data :
@article{Medstat27941, author = {Amam Hidayat and Subanar Subanar}, title = {PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM}, journal = {MEDIA STATISTIKA}, volume = {13}, number = {1}, year = {2020}, keywords = {Levy Process; Ornstein-Uhlenbeck process; BNS Gamma Ornstein Uhlenbeck Model}, abstract = {Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance. Additionally, Gamma Ornstein-Uhlenbeck process driven by Background Driving Levy Process (BDLP) compound Poisson process and the marginal law of volatility follows a Gamma distribution. Barndorff-Nielsen and Shepard (BNS) Gamma Ornstein-Uhlenbeck model can to sample the process for the stock price with volatility follows Gamma Ornstein-Uhlenbeck process. Based on these, the simulation result are compared BNS Gamma Ornstein-Uhlenbeck model with geometric Brown motion for Standard and Poor (SP) 500 stock data. Simulation result give BNS Gamma Ornstein-Uhlenbeck model and Geometric Brownian motion a Root Mean Square Error (RMSE) are 0,13 and 0,24 respectively. These result indicate that the BNS Gamma Ornstein-Uhlenbeck model gives a more accurate than Geometric Brownian motion}, issn = {2477-0647}, pages = {60--67} doi = {10.14710/medstat.13.1.60-67}, url = {https://ejournal.undip.ac.id/index.php/media_statistika/article/view/27941} }
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