Hardle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; … - In: Quantitative Finance 8 (2008) 1, pp. 81-92
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A new model for a stock market index process is proposed in which the index is decomposed into an average growth process and an ergodic diffusion. The...