AbstractThe model determines a stochastic continuous process as continuous limit of a stochastic discrete process so to show that the stochastic continuous process converges to the stochastic discrete process such that we can integrate it. Furthermore, the model determines the expected volatility and the expected mean so to show that the volatility and the mean are increasing function of the time.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21973.
Date of creation: 2006
Date of revision:
Geometric Brown process; Wiener process;
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- Giandomenico, Rossano, 2006. "Asset Liability Management in Insurance Company," MPRA Paper 16333, University Library of Munich, Germany, revised Jan 2009.
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