Giandomenico, Rossano (2006): Martingale Model.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Martingale Model|
|Keywords:||Geometric Brown process, Wiener process|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing|
|Depositing User:||Rossano Giandomenico|
|Date Deposited:||12. Apr 2010 02:03|
|Last Modified:||12. Feb 2013 13:05|
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