Binary market models with memory

Inoue, Akihiko; Nakano, Yumiharu; Anh, Vo

Hokkaido University Preprint Series in Mathematics, 2004, 661, 1-13

Permalink : https://doi.org/10.14943/83812

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アクセス権	open access
DOI	https://doi.org/10.14943/83812
URI	https://hdl.handle.net/2115/69466
タイトル	Binary market models with memory
著者	Inoue, Akihiko ; Nakano, Yumiharu ; Anh, Vo
著者名 Inoue, Akihiko
著者名 Nakano, Yumiharu
著者名 Anh, Vo
言語	英語
キーワード	Financial market with memory
	binary market
	arbitrage
発行日	2004
出版者	Department of Mathematics, Hokkaido University
収録物名	Hokkaido University Preprint Series in Mathematics
巻(号)	661
ページ	1-13
抄録	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.
資源タイプ	紀要論文
出版タイプ	Version of Record