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Bounds for the expected value of the stochastic Divisia's price index

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  • Jacek Białek

Abstract

In this article, we estimate bounds for the expected value of the stochastic Divisia's price index, that is, we assume that prices and quantities of the given commodities are stochastic processes with continuous time. We consider some special case of the stochastic model in which prices and quantities are described by the geometric Brownian motion. It is shown that the precision of this estimation depends rather on the volatility of prices than quantities volatilities.

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  • Jacek Białek, 2017. "Bounds for the expected value of the stochastic Divisia's price index," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(14), pages 7134-7146, July.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:14:p:7134-7146
    DOI: 10.1080/03610926.2016.1148737
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