HUSCAP logo Hokkaido Univ. logo

Hokkaido University Collection of Scholarly and Academic Papers >
Graduate School of Science / Faculty of Science >
Peer-reviewed Journal Articles, etc >

Binary market models with memory

Files in This Item:
S&PL77-3.pdf220.58 kBPDFView/Open
Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/18888

Title: Binary market models with memory
Authors: Inoue, Akihiko Browse this author
Nakano, Yumiharu Browse this author
Anh, Vo Browse this author
Keywords: Financial market with memory
Binary market
Arbitrage
Issue Date: 1-Feb-2007
Publisher: Elsevier
Journal Title: Statistics & Probability Letters
Volume: 77
Issue: 3
Start Page: 256
End Page: 264
Publisher DOI: 10.1016/j.spl.2006.07.007
Abstract: We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient condition for the binary model to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero.
Relation: http://www.sciencedirect.com/science/journal/01677152
Type: article (author version)
URI: http://hdl.handle.net/2115/18888
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 井上 昭彦

Export metadata:

OAI-PMH ( junii2 , jpcoar_1.0 )

MathJax is now OFF:


 

 - Hokkaido University