Black–Scholes’ model and Bollinger bands

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• 作者：Wei Liu ; Xudong Huang and Weian Zheng
• 关键词：Black– ; Scholes model ; Bollinger bands ; Moving average ; Stationary process ; Stationary distribution
• 刊名：Physica A
• 出版年：2006
• 出版时间：15 November 2006
• 年：2006
• 卷：371
• 期：2
• 页码：565-571
• 全文大小：180 K

文摘

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.