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  • Search: subject:"weak convergence in Skorokhod Space D\[0, 1\]."
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Year of publication
Subject
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asymptotic uniformity 1 weak convergence in Skorokhod Space D[0, 1]. 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Working Paper 1
Language
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English 1
Author
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Nagaev, Sergei A. 1
Published in...
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Reihe Ökonomie / Economics Series 1
Source
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EconStor 1
Showing 1 - 1 of 1
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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...
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