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Binary market models with memory

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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
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.
Type: article (author version)
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

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