Villarroel, Javier - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 321-329
We present a model to describe the stochastic evolution of stocks that show a strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a certain way we show that our model can be integrated in an...