An Economic Application on the Ito Lemma


Damian D., Carstea C., Patrascu L., Ratiu I., David N., Plesea D.

9th WSEAS International Conference on Simulation, Modelling and Optimization, Budapest, Hungary, 3 - 05 September 2009, pp.65-68 identifier

  • Publication Type: Conference Paper / Full Text
  • City: Budapest
  • Country: Hungary
  • Page Numbers: pp.65-68

Abstract

This article tries to give a balanced representation of the theoretical foundations of mathematical finance, and their implementation. A stochastic differential equation (SDE) describes the increment of a variable, say X, which is driven by one or several underlying random processes. Here these sources of randomness are Brownian motion.