Show simple item record

AuthorM. Al-Eideh, Basel
AuthorAlshammari, Turki
Available date2022-08-17T06:52:26Z
Publication Date2022-06-21
Publication NameStudies in Business and Economics
Identifierhttp://dx.doi.org/10.29117/sbe.2022.0134
CitationAl-Eideh, B. M. ., & Alshammari, T. . (2022). Moment Approximation of a Money Return Model Employing a Birth and Death Diffusion Process with General External Effect. Studies in Business and Economics, 25(1), 36–50. https://doi.org/10.29117/sbe.2022.0134
ISSN1818-1228
URIhttp://hdl.handle.net/10576/33148
AbstractThis paper derives moment approximation as well as the mean and the variance of a money return model within an important diffusion return process by considering the stochastic analogs of classical differences and differential equations. This is accomplished by employing an interest rate process that follows a birth and death diffusion process with general external effect process and represented as a solution to a stochastic differential equation. The analysis introduces a generalization of a widely applied statistical distribution, the exponential distribution. In particular, the moment approximation for some external effect distributions of Beta and Exponential distributions, as well as for the case of no external effects are generated. Numerical examples for a sample path of such a money return process are also considered for the case of fixed annualized interest rate and for the case of no jumps as well as the case of the occurrence of jump process that follow a uniform and exponential distribution. The results are useful in studying the behavior of the process and in statistical inference problems. The model generalization should attract wider applicability.
Languageen
PublisherQatar University Press
SubjectMoney Return
Interest rate Process
Birth-Death Diffusion Process
General External Effect
Moment Approximation
Mean and Variance
TitleMoment Approximation of a Money Return Model Employing a Birth and Death Diffusion Process with General External Effect
TypeArticle
Pagination36-50
Issue Number1
Volume Number25
dc.accessType Open Access


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record