Search Results - subject:"Skorokhod space"

The Riesz representation theorem and weak∗ compactness of semimartingales

Kiiski, Matti - In: Finance and Stochastics 24 (2020) 4, pp. 827-870

. In particular, we give a full characterisation of the strongest topology on the Skorokhod space for which these results …

Persistent link: https://www.econbiz.de/10014503834

The role of Skorokhod space in the development of the econometric analysis of time series

CRORIE, Mc; Roderick, J. - Center for Operations Research and Econometrics (CORE), … - 2008

This paper discusses the fundamental role played by Skorokhod space, through its underpinning of functional central …

Persistent link: https://www.econbiz.de/10005043368

A diffusion approximation for the riskless profit under selling of discrete time call options

Nagaev, Sergei A. - 2003

A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is...

Persistent link: https://www.econbiz.de/10010292785

A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options

Nagaev, Sergei A. - Department of Economics and Finance Research and … - 2003

Persistent link: https://www.econbiz.de/10005764184