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st: First passage problem
From
Jason Rosenberg <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: First passage problem
Date
Tue, 11 Sep 2012 13:40:50 +0000
Dear Statalist members
I am trying to write a program to solve the 'First Passage Problem' for geometric brownian motion.
I have obtained my empirical pdf and want to fit a probability distribution to it.
I have my times and there accociated probabilities, i.e. 7 has a 0.0136452 chance of occuring.
I am desperate for help, I have read much if the literature on the subject but cannot figure out how to apply these methods in Stata.
To view the study I am replecating google: Johansen, A., Simonsen, . I. & Jensen, M. H., 2006. Optimal investment horizons for stocks and markets. Physica A, 370(1), p. 64–67.
Any help would be greatly appreciated.
I would be happy to provide any further explanation on what I require
Kind Regards,
Dalton Rosenberg.
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