Loading...
Please wait, while we are loading the content...
Similar Documents
A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
| Content Provider | EconStor |
|---|---|
| Author | Nagaev, Alexander V. Nagaev, Sergei A. Kunst, Robert M. |
| 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-risky profit 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. |
| File Format | |
| Language | English |
| Publisher | Institute for Advanced Studies (IHS) |
| Publisher Date | 2005-01-01 |
| Publisher Place | Vienna |
| Access Restriction | Open |
| Rights Holder | http://www.econstor.eu/dspace/Nutzungsbedingungen |
| Subject Keyword | asymptotic uniformity local limit theorem volatility Optionspreistheorie Volatilität Stochastischer Prozess Zeitreihenanalyse Theorie Asset Pricing; Trading Volume; Bond Interest Rates Portfolio Choice; Investment Decisions Contingent Pricing; Futures Pricing; option pricing |
| Content Type | Text |
| Resource Type | Article |
