On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
DOI10.1155/2009/215817zbMath1176.62103OpenAlexW3122009644WikidataQ58648155 ScholiaQ58648155MaRDI QIDQ1039919
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/231448
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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