Black–Scholes’ model and Bollinger bands

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.

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Year of publication:	2006
Authors:	Liu, Wei ; Huang, Xudong ; Zheng, Weian
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 371.2006, 2, p. 565-571
Publisher:	Elsevier
Subject:	Black–Scholes model \| Bollinger bands \| Moving average \| Stationary process \| Stationary distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010589233