A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options: Non-identically Distributed Jumps

Nagaev, Alexander V. and Nagaev, Sergej and Kunst, Robert M. (January 2005) A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options: Non-identically Distributed Jumps. IHS Economics Series 164

[img]
Preview
Text
es-164.pdf

Download (477kB) | Preview

Abstract or Table of Contents

Abstract: A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-riskyprofit of the investor that arises when the jumps of the stock price are bounded while the investor follows the upper hedge. The considered discrete time model is approximated by a continuous time model that generalizes the classical geometrical Brownian motion.;

Item Type: IHS Series
Keywords: 'Asymptotic uniformity' 'Local limit theorem' 'Volatility'
Classification Codes (e.g. JEL): G12, G11, G13
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 24 Jul 2017 17:50
URI: http://irihs.ihs.ac.at/id/eprint/1610

Actions (login required)

View Item View Item