Please use this identifier to cite or link to this item:
Butucea, Cristina
Nussbaum, Michael
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,59
Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
165.87 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.