Approximation of optimal prices when basic data are weakly dependent

Tatsuhiko Saigo, Hiroshi Takahashi, Ken Ichi Yoshihara

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Corresponding to the Black-Scholes stochastic differential equation, Yoshihara (2012) introduced a difference equation based on weakly dependent stationary random variables and proved that its solution converges almost surely to a geometric Brownian motion with an annual drift parameter and a volatility which come from the assumption on the random variables. In this paper, we show some further results and present their applications by using approximations of some optimal prices in the Black-Scholes market.

Original languageEnglish
Pages (from-to)217-230
Number of pages14
JournalDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
Volume23
Issue number3
Publication statusPublished - 2016 Jan 1
Externally publishedYes

Keywords

  • Black-Scholes type stochastic differential equation
  • Difference equation
  • Stationary sequence
  • Weakly dependent random variable
  • Wiener process

ASJC Scopus subject areas

  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Approximation of optimal prices when basic data are weakly dependent'. Together they form a unique fingerprint.

  • Cite this