Nonlinear Stochastic Equation within an Itô Prescription for Modelling of Financial Market

The stochastic nonlinear model based on Itô diffusion is proposed as a mathematical model for price dynamics of financial markets. We study this model with relation to concrete stylised facts about financial markets. We investigate the behavior of the long tail distribution of the volatilities and v...

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Detalles Bibliográficos
Autor principal: S. Lima, Leonardo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515019/
https://www.ncbi.nlm.nih.gov/pubmed/33267244
http://dx.doi.org/10.3390/e21050530

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515019/
https://www.ncbi.nlm.nih.gov/pubmed/33267244
http://dx.doi.org/10.3390/e21050530

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