On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications

DOI10.1155/2009/215817zbMath1176.62103WikidataQ58648155 ScholiaQ58648155MaRDI QIDQ1039919

Bernard Wong

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/231448

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G80: Financial applications of other theories

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

91G10: Portfolio theory

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