2023-06-08T21:09:48Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/694662022-11-17T02:08:08Zhdl_2115_45007hdl_2115_116Binary market models with memoryInoue, AkihikoNakano, YumiharuAnh, VoFinancial market with memorybinary marketarbitrage410We 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 conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.Department of Mathematics, Hokkaido UniversityDepartmental Bulletin Paperapplication/pdfhttp://hdl.handle.net/2115/69466info:doi/10.14943/83812https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/69466/1/pre661.pdfHokkaido University Preprint Series in Mathematics6611132004engpublisher