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Modelling of stock price changes: A real analysis approach

  • Rimas Norvaisa

    ()

    (Institute of Mathematics and Informatics, Akademijos 4, LT-2600 Vilnius, Lithuania Manuscript)

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    In 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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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 4 (2000)
    Issue (Month): 3 ()
    Pages: 343-369

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    Handle: RePEc:spr:finsto:v:4:y:2000:i:3:p:343-369
    Note: received: October 1997; final version received: June 1999
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