On the Positive Colored Noise Related to the Option Price from Black-Scholes Equation

Amnuay Kananthai

Abstract


In studying the uctuation of the price of stock, there are threeparameters aecting such uctuation. The rst is well known parameter whichis known as the volatility of stock. The second is not really well know whichis white noise and has not been computed. Fortunately, in this paper we cannd the formula of such white noise and can be computed property. The thirdparameter is the positive colored noise which is the aim of this paper. Suchpositive colored noise is derived from the white noise and it is interesting parameterparticularly, in involving the innitely uctuation of the price of stock. Moreover,The relationships between three parameter has been also studied and obtainingthe interesting results.

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The Thai Journal of Mathematics organized and supported by The Mathematical Association of Thailand and Thailand Research Council and the Center for Promotion of Mathematical Research of Thailand (CEPMART).

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