A STATISTICS INTERPOLATION METHOD: LINEAR PREDICTION IN A STOCK PRICE PROCESS

  • Choi, U-Jin
  • Published : 2001.05.01

Abstract

We propose a statistical interpolation approximate solution for a nonlinear stochastic integral equation of a stock price process. The proposed method has the order O(h$^2$) of local error under the weaker conditions of $\mu$ and $\sigma$ than those of Milstein' scheme.

Keywords

Stochastic integral equation;Brownian motion;statistical divided difference;statistical interpolation

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