An alternative approach to stochastic calculus for economic and financial models
| Autor: | R.E. Fennell, Lloyd P. Blenman, James A. Reneke, Norman Keith Womer, Leonard F.S. Wang, R.S. Cantrell, Darrell F. Parker |
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| Rok vydání: | 1995 |
| Předmět: |
Economics and Econometrics
Continuous-time stochastic process Control and Optimization Stochastic investment model Stochastic discount factor Stochastic modelling Applied Mathematics Multivariable calculus Mathematical finance Stochastic calculus Economics Wilkie investment model Mathematical economics |
| Zdroj: | Journal of Economic Dynamics and Control. 19:553-568 |
| ISSN: | 0165-1889 |
| DOI: | 10.1016/0165-1889(93)00794-5 |
| Popis: | Application of the Ito stochastic calculus to problems in economics and finance raises several modeling issues. McShane's canonical model and alternative stochastic calculus for handling these models resolves these issues in a satisfactory manner. This paper explores the application of McShane's approach to four areas: empirical estimation and testing of stochastic models, Fischer's model of the demand for index bonds, option pricing, and optimal investment under price level uncertainty. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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