Processus d'évolution du prix des actions en temps continu et efficience du marché boursier
AbstractThe primary focus of the paper is on the main economic assumptions that are sufficient for returns to be distributed according to Itô diffusion processes defined as representations of the returns on financial assets. The paper mainly discusses the degree of generally of these assumptions and also provides a useful derivation of Itô’s lemma. In the context of the efficient market hypothesis it is shown that an Itô process in itself does not imply that it follows a martingale or a random walk nor that returns are necessarily normally distributed.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) with number 1990012.
Date of creation: 01 Apr 1990
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