Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72293 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 164
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
asymptotic uniformity
local limit theorem
volatility
JEL: 
G12
G11
G13
Dokumentart: 
Working Paper

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