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.
|Data di pubblicazione:||2000|
|Titolo:||Applications of Multidimensional Stochastic Processes to Financial Investments|
|Rivista:||RENDICONTI PER GLI STUDI ECONOMICI QUANTITATIVI|
|Appare nelle tipologie:||2.1 Articolo su rivista |