Stock prices as branching processes

DOI10.1080/15326349608807400MaRDI QIDQ3126851zbMATH OpenOpenAlexFDO

Authors T. W. Epps

Publication date 26 October 1997

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349608807400

zbMATH Keywords

Bienaymé-Galton-Watson processcompound-Poisson processMarkov chainmixture of distributions

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Recommendations

• Stock prices as branching processes in random environments: estimation
• On the increment distributions of stock prices
• Barrier option pricing by branching processes
• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES

Cited in

(23)

• Semiparametric estimation of count regression models
• Some long-range dependence processes arising from fluctuations of particle systems
• Modeling record-breaking stock prices
• Deviations for martingale convergence of a branching process with random index
• Deviations for jumping times of a branching process indexed by a Poisson process
• Critical randomly indexed branching processes
• Limit theorems for a supercritical Poisson random indexed branching process
• Large and moderate deviations for a renewal randomly indexed branching process
• Maximum-likelihood estimation for galton-watson processes
• Barrier option pricing by branching processes
• Stock prices as branching processes in random environments: estimation
• scientific article; zbMATH DE number 1500699 (Why is no real title available?)
• Berry-Esseen type inequality for a Poisson randomly indexed branching process via Stein's method
• Large deviations for Lotka-Nagaev estimator of a randomly indexed branching process
• Asymptotic distributions and Berry-Esseen inequalities for Lotka-Nagaev estimator of a Poisson randomly indexed branching process
• Controlled branching processes with continuous time
• A snakes and ladders representation of stock prices and returns
• On the increment distributions of stock prices
• Normal approximation for a randomly indexed branching process
• Large deviations for a randomly indexed branching process with immigration
• Notes on large deviations for branching processes indexed by a Poisson process
• Large and moderate deviations for a class of renewal random indexed branching process
• Large deviations for a Poisson random indexed branching process

This page was built for publication: Stock prices as branching processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3126851)