A stochastic approach is used to describe the temporal behaviour of stock prices. It is shown that standard techniques are unable to give the correct variance of the stock price distribution if the trend of variation is price dependent.
On the variance of stock price distributions
BRAGLIA, MARCELLO
1990-01-01
Abstract
A stochastic approach is used to describe the temporal behaviour of stock prices. It is shown that standard techniques are unable to give the correct variance of the stock price distribution if the trend of variation is price dependent.File in questo prodotto:
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