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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2019
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| 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 |