A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options: Non-identically Distributed Jumps

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-riskyprofit of the investor that arises when the jumps of...

Ausführliche Beschreibung

Bibliographische Detailangaben
Link(s) zu Dokument(en):IHS Publikation
Hauptverfasser: Nagaev, Alexander V., Nagaev, Sergej, Kunst, Robert M.
Format: IHS Series NonPeerReviewed
Sprache:Englisch
Veröffentlicht: Institut für Höhere Studien 2005
Beschreibung
Zusammenfassung: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-riskyprofit 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.;

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