Binary market models with memory
نویسندگان
چکیده
منابع مشابه
Binary Market Models with Memory
Abstract. We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2007
ISSN: 0167-7152
DOI: 10.1016/j.spl.2006.07.007