Arbeitspapier
A diffusion approximation for the riskless profit under selling of discrete time call options
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 to the 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.
- Language
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Englisch
- Bibliographic citation
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Series: Reihe Ökonomie / Economics Series ; No. 137
- Classification
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Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Optimization Techniques; Programming Models; Dynamic Analysis
- Subject
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asymptotic uniformity
weak convergence in Skorokhod Space D[0, 1].
- Event
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Geistige Schöpfung
- (who)
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Nagaev, Sergei A.
- Event
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Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
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Vienna
- (when)
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2003
- Handle
- Last update
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10.03.2025, 11:42 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, Sergei A.
- Institute for Advanced Studies (IHS)
Time of origin
- 2003
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Approximation of discrete functions and size of spectrum
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