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Binary market models with memory

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/83812

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: 2004
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 661
Start Page: 1
End Page: 13
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 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.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69466
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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