Asymptotics of riskless profit under selling of discrete time call options

A. V. Nagaev, and S. A. Nagaev. "Asymptotics of riskless profit under selling of discrete time call options." Applicationes Mathematicae 30.2 (2003): 173-191. <http://eudml.org/doc/279546>.

@article{A2003,
abstract = {A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.},
author = {A. V. Nagaev, S. A. Nagaev},
journal = {Applicationes Mathematicae},
keywords = {asymptotic uniformity; weak convergence in },
language = {eng},
number = {2},
pages = {173-191},
title = {Asymptotics of riskless profit under selling of discrete time call options},
url = {http://eudml.org/doc/279546},
volume = {30},
year = {2003},
}

TY - JOUR
AU - A. V. Nagaev
AU - S. A. Nagaev
TI - Asymptotics of riskless profit under selling of discrete time call options
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 173
EP - 191
AB - A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.
LA - eng
KW - asymptotic uniformity; weak convergence in
UR - http://eudml.org/doc/279546
ER -