Binary market models with memory
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概要
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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.
- Elsevierの論文
- 2007-02-01
Elsevier | 論文
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