Some Divergence Properties of Asset Price Models
Abstract: We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the IÃŽ...
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| Format: | Article |
| Langue: | English |
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MDPI AG
2001-12-01
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| Collection: | Entropy |
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| Accès en ligne: | http://www.mdpi.com/1099-4300/3/5/300/ |