Giandomenico, Rossano (2006): Martingale Model.
Download (109kB) | Preview
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|
Bjòrk,T. : Arbitrage Theory in Continuous Time Oxford University Press (1998)
Øksendal,B. : Stochastic Differential Equations (4th edn) Springer Verlag,Berlin Heidelberg (1995)
Louis Bachelier Theory of Speculation (1900) Cootner: The Random Character of Stock Market Prices Cambridge, Mass, MIT. (1964)
Malliaris,A.G. : Ito’s Calculus in Financial Decision Making S.I.A.M. Review, Vol. 25 n° 4 (October1983)
Malliaris,Brock : Stochastic Methods in Economics and Finance North-Holland (1982)
Merton,R. : On the Mathematics and Economics Assumptions of Continuous-Time Models Massachusetts Institute of Technology (1982)