The search session has expired. Please query the service again.

The search session has expired. Please query the service again.

Displaying similar documents to “On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications.”

The d X ( t ) = X b ( X ) d t + X σ ( X ) d W equation and financial mathematics. I

Josef Štěpán, Petr Dostál (2003)

Kybernetika

Similarity:

The existence of a weak solution and the uniqueness in law are assumed for the equation, the coefficients b and σ being generally C ( + ) -progressive processes. Any weak solution X is called a ( b , σ ) -stock price and Girsanov Theorem jointly with the DDS Theorem on time changed martingales are applied to establish the probability distribution μ σ of X in C ( + ) in the special case of a diffusion volatility σ ( X , t ) = σ ˜ ( X ( t ) ) . A martingale option pricing method is presented.