Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72293
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) 164
Abstract: 
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the stock price are bounded while the investor follows the upper hedge. The considered discrete time model is approximated by a continuous time model that generalizes the classical geometrical Brownian motion.
Subjects: 
asymptotic uniformity
local limit theorem
volatility
JEL: 
G12
G11
G13
Document Type: 
Working Paper

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