In this paper we study a possible numerical method to reach the solution for a general selevtion model for investments in financial securities whose prices follow an Ito stochastic process. The core of this method is the approximations of the stochastic processes by Markov chains. In these situations, we show some applications to the Italian Stock Exchange Market, in order to verify the practical applicability of the models.

Applications of Multidimensional Stochastic Processes to Financial Investments

CANESTRELLI, Elio
2000

Abstract

In this paper we study a possible numerical method to reach the solution for a general selevtion model for investments in financial securities whose prices follow an Ito stochastic process. The core of this method is the approximations of the stochastic processes by Markov chains. In these situations, we show some applications to the Italian Stock Exchange Market, in order to verify the practical applicability of the models.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/35839
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