Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71248
Authors: 
Nagaev, Sergei A.
Year of Publication: 
2003
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 137
Abstract: 
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 established. It is of interest that in contrast with the discrete approximation, no guaranteed profit occurs in the approximated continuous time model.
Subjects: 
asymptotic uniformity
weak convergence in Skorokhod Space D[0, 1].
JEL: 
G13
G24
C61
Document Type: 
Working Paper

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