Modelling of stock price changes: A real analysis approach
AbstractIn this paper a real analysis approach to stock price modelling is considered. A stock price and its return are defined in a duality to each other provided there exist suitable limits along a sequence of nested partitions of a time interval, mimicking sum and product integrals. It extends the class of stochastic processes susceptible to theoretical analysis. Also, it is shown that extended classical calculus is applicable to market analysis whenever the local 2-variation of sample functions of the return is zero, or is determined by jumps if the process is discontinuous. In particular, an extended Riemann-Stieltjes integral is used in that case to prove several properties of trading strategies.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 4 (2000)
Issue (Month): 3 ()
Note: received: October 1997; final version received: June 1999
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- Alessio Sancetta, 2004.
"Copula Based Monte Carlo Integration in Financial Problems,"
wp04-02, Warwick Business School, Finance Group.
- Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
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