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Evolution des cours gouvernee par unprocessus de type ARIMA fractionnaire

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

    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.

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

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    Length: 9 pages
    Date of creation: 2000
    Handle: RePEc:fth:gremaq:00-541
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    GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.

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