A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

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.