Advanced Search
MyIDEAS: Login to save this paper or follow this series

Evolution des cours gouvernee par unprocessus de type ARIMA fractionnaire

Contents:

Author Info

  • Thao, T.H.
  • Thomas-Agnan, C.
Registered author(s):

    Abstract

    Nous proposons un modele approprie de l'evolution deu cours de l'action dans un marche financier ou le prix d'actif a un instant peut influencer a long terme le dynamique du cours. Cet effet de longue memoire ne peut pas etre pris en compte par le modele usuel de Black et Scholes. On precise le bruit par un processus de type ARIMA fractionnaire et on donne une solution asymptotique du modele.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Toulouse - GREMAQ in its series Papers with number 00-541.

    as in new window
    Length: 9 pages
    Date of creation: 2000
    Date of revision:
    Handle: RePEc:fth:gremaq:00-541

    Contact details of provider:
    Postal: GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.
    Phone: 05.61.62.85.56
    Fax: 05 61 22 55 63
    Email:
    Web page: http://www-gremaq.univ-tlse1.fr/
    More information through EDIRC

    Related research

    Keywords: MODELES ; MARCHE FINANCIER ; LONG TERME;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:fth:gremaq:00-541. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.