1
vote
2answers
146 views

Statistics of difference between two GBMs

if I have two asset prices modeled separately as geometric brownian motions. How do i go about calculating the expected statistics of their difference? Like given the sigmas and mus of both processes, ...
5
votes
5answers
924 views

How to fit probability density function from sample moments?

If I have calculated the sample mean, variance, skew and kurtosis of a set of data, how would I go about fitting a probability distribution to match these moments (i.e. choosing a probability ...