Journal of the Korean Mathematical Society (대한수학회지)

Korean Mathematical Society (대한수학회)
권호 표지

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

  • Published : 2001.05.01
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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

References

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