Asymptotics of riskless profit under selling of discrete time call options

• Autorzy: A. V. Nagaev , S. A. Nagaev
• Języki publikacji: EN

Abstrakty

EN

A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 60G50: Sums of independent random variables; random walks
• 60F17: Functional limit theorems; invariance principles

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 2
• Strony: 173-191

Daty

wydano

2003

Twórcy

autor

A. V. Nagaev

• Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, 12/18 Chopin St., 87-100 Toruń, Poland

autor

S. A. Nagaev

• Institute of Advanced Studies, 56 Stumpergasse, 1060 Wien, Austria

Identyfikatory

DOI

10.4064/am30-2-3