<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper simulates and analyzes asset pricing based on the Gaussian model, simulates stock price paths under the Heston model, B-S model, and Gaussian model using the Monte Carlo simulation method, and compares with the real path. The difference between the Heston model, the B-S model, and the real value for predicting KIA financial assets is greater than 0.6, while the difference between the Gaussian model and the real value is less than 0.25. The difference between the Heston model, the B-S model, and the true value of Shenzhen Holdings’ financial assets is greater than 1, while the difference between the Gaussian model and the true value is less than 0.35. Similarly, the difference between the Heston model, the B-S model, and the true value of Shun Tak Group’s financial assets is almost greater than 0.60, while the difference between the Gaussian model and the true value is less than 0.35. It can be seen that the Gaussian model is closer to the true value than the Heston model and the B-S model, so it is reasonable and effective to use the Gaussian model to price financial assets. This study not only presents a new basis for theoretically studying financial asset pricing but also provides a theoretical basis for applying option pricing in risk management.</p>
</abstract>

This paper simulates and analyzes asset pricing based on the Gaussian model, simulates stock price paths under the Heston model, B-S model, and Gaussian model using the Monte Carlo simulation method, and compares with the real path. The difference between the Heston model, the B-S model, and the real value for predicting KIA financial assets is greater than 0.6, while the difference between the Gaussian model and the real value is less than 0.25. The difference between the Heston model, the B-S model, and the true value of Shenzhen Holdings’ financial assets is greater than 1, while the difference between the Gaussian model and the true value is less than 0.35. Similarly, the difference between the Heston model, the B-S model, and the true value of Shun Tak Group’s financial assets is almost greater than 0.60, while the difference between the Gaussian model and the true value is less than 0.35. It can be seen that the Gaussian model is closer to the true value than the Heston model and the B-S model, so it is reasonable and effective to use the Gaussian model to price financial assets. This study not only presents a new basis for theoretically studying financial asset pricing but also provides a theoretical basis for applying option pricing in risk management.

Simulation analysis of asset pricing based on the Gaussian process

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Simulation analysis of asset pricing based on the Gaussian process"}

This paper simulates and analyzes asset pricing based on the Gaussian model, simulates stock price paths under the Heston model, B-S model, and Gaussian model...

Simulation analysis of asset pricing based on the Gaussian process

Online veröffentlicht: 24. Juli 2023

Seitenbereich: -

Eingereicht: 29. März 2022

Akzeptiert: 10. Dez. 2022

DOI: https://doi.org/10.2478/amns.2023.2.00073

Schlüsselwörter
Gaussian model, Asset pricing, Monte Carlo simulation method, Heston model, B-S model

© 2023 Jingping Nong, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Simulation analysis of asset pricing based on the Gaussian process

Online veröffentlicht: 24. Juli 2023

Seitenbereich: -

Eingereicht: 29. März 2022

Akzeptiert: 10. Dez. 2022

DOI: https://doi.org/10.2478/amns.2023.2.00073

SchlüsselwörterGaussian model, Asset pricing, Monte Carlo simulation method, Heston model, B-S model

© 2023 Jingping Nong, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Schlüsselwörter
Gaussian model, Asset pricing, Monte Carlo simulation method, Heston model, B-S model