Additive-multiplicative stochastic models of financial mean-reverting processes

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 72, Issue 2, 2005, Pages

  Anteneodo, C ^a   Riera, R ^a  

^a PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL PROCESSES; LANGEVIN EQUATION; REALISTIC MODELS; VOLATILITIES;

DATA ACQUISITION; FINANCE; PROBABILITY DENSITY FUNCTION;

RANDOM PROCESSES;

EID: 27244438582     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.72.026106     Document Type: Article

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