A diffusion equation for the price evolution of the Italian share "Olivetti" is found by investigating a series of its data. The coefficients of this equation are found by using the maximum likelihood method based on martingale theory. We evaluate pricing and hedging strategy by the Sornette and Bouchaud approach.
a diffusion approach for economic time series / Ciogli, M; Rotundo, Giulia; Tirozzi, Benedetto. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - 3, 3:(2000), pp. 567-568. [10.1142/S0219024900000619]
a diffusion approach for economic time series
ROTUNDO, GiuliaInvestigation
;TIROZZI, BenedettoSupervision
2000
Abstract
A diffusion equation for the price evolution of the Italian share "Olivetti" is found by investigating a series of its data. The coefficients of this equation are found by using the maximum likelihood method based on martingale theory. We evaluate pricing and hedging strategy by the Sornette and Bouchaud approach.File allegati a questo prodotto
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