Martingale Model

Rossano Giandomenico

MPRA Paper from University Library of Munich, Germany

Abstract: The model determines a stochastic continuous process as continuous limit of a stochastic discrete process so to show that the stochastic continuous process converges to the stochastic discrete process such that we can integrate it. Furthermore, the model determines the expected volatility and the expected mean so to show that the volatility and the mean are increasing function of the time.

Keywords: Geometric Brown process; Wiener process (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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