A DIFFUSION APPROACH TO ECONOMIC TIME SERIES

M. Ciogli, G. Rotundo () and B. Tirozzi ()
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M. Ciogli: Department of Mathematics for Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", Italy
G. Rotundo: Department of Mathematics for Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", Italy
B. Tirozzi: Department of Physics, University of Rome "La Sapienza", Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 567-568

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.

Date: 2000
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DOI: 10.1142/S0219024900000619

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