Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72279
Authors: 
Nagaev, Alexander V.
Nagaev, Sergei A.
Kunst, Robert M.
Year of Publication: 
2005
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 165
Abstract: 
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. The suggested diffusion approximation for the Markov chain allows establishing a convenient approximate formula for the studied characteristic.
Subjects: 
ergodic and irreducible Markov chains
stationary distribution
local limit theorem
upper hedge
upper rational price
JEL: 
G12
G11
G13
Document Type: 
Working Paper

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