On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion

This paper approximates stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used.

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Year of publication:	1999-12-01
Authors:	Geiss, Stefan
Publisher:	Institut für Informationsverarbeitung und -wirtschaft <Wien>
Subject:	Stochastik \| Stochastische Integralgleichung \| Finanzmathematik

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Extent:	376832 bytes 24 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Universitätsbibliothek Working Papers - Report Series; 43
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841720