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Nagaev, Sergej (September 2003) A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options. Former Series > Working Paper Series > IHS Economics Series 137
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Abstract
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 |
| Date Deposited: | 26 Sep 2014 10:37 |
| Last Modified: | 26 Sep 2019 16:19 |
| ISBN: | 1605-7996 |
| URI: | https://irihs.ihs.ac.at/id/eprint/1511 |
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