A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options

Nagaev, Sergej (September 2003) A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options. IHS Economics Series 137

[img]
Preview
Text
es-137.pdf

Download (329kB) | Preview

Abstract or Table of Contents

Abstract: A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer tothe classical model of the geometric Brownian motion is established. It is of interest that in contrast with the discrete approximation, no guaranteed profit occurs in the approximated continuous time model.;

Item Type: IHS Series
Keywords: 'Asymptotic uniformity' 'Weak convergence in Skorokhod Space D[0,1]'
Classification Codes (e.g. JEL): G13, G24, C61
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 21 Jul 2017 17:57
URI: http://irihs.ihs.ac.at/id/eprint/1511

Actions (login required)

View Item View Item