Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - Department of Economics and Finance Research and … - 2005
A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....
