Arbeitspapier
A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded. The suggested diffusion approximation for the Markov chain allows establishing a convenient approximate formula for the studied characteristic.
- Language
-
Englisch
- Bibliographic citation
-
Series: Reihe Ökonomie / Economics Series ; No. 165
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Portfolio Choice; Investment Decisions
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
ergodic and irreducible Markov chains
stationary distribution
local limit theorem
upper hedge
upper rational price
Markovscher Prozess
Finanzmarkt
Optionspreistheorie
Hedging
Zeitreihenanalyse
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Nagaev, Alexander V.
Nagaev, Sergei A.
Kunst, Robert M.
- Event
-
Veröffentlichung
- (who)
-
Institute for Advanced Studies (IHS)
- (where)
-
Vienna
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Nagaev, Alexander V.
- Nagaev, Sergei A.
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Time of origin
- 2005
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