- Tytuł:
- Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
- Autorzy:
- Mishura, Y.
- Powiązania:
- https://bibliotekanauki.pl/articles/952778.pdf
- Data publikacji:
- 2015
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
diffusion approximation
semimartingale
recurrent scheme
financial market
multiplicative scheme
Ornstein-Uhlenbeck process - Opis:
- We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model. These results generalize a classical scheme of the weak convergence for discrete-time markets to the Black-Scholes model. We give an explicit and direct method of approximation by a recurrent scheme. As an example, an Ornstein-Uhlenbeck process is considered as a limit model.
- Źródło:
-
Opuscula Mathematica; 2015, 35, 1; 99-116
1232-9274
2300-6919 - Pojawia się w:
- Opuscula Mathematica
- Dostawca treści:
- Biblioteka Nauki
Artykuł