Munich Personal RePEc Archive

Martingale Model

Giandomenico, Rossano (2006): Martingale Model.

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Abstract

The model determines a stochastic continuous process as continuous limit of a stochastic discrete process so to show that the stochastic continuous process converges to the stochastic discrete process such that we can integrate it. Furthermore, the model determines the expected volatility and the expected mean so to show that the volatility and the mean are increasing function of the time.

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