Approximation of optimal prices when basic data are weakly dependent

Tatsuhiko Saigo, Hiroshi Takahashi, Ken Ichi Yoshihara

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)217-230
ページ数14
ジャーナルDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
23
3
出版ステータスPublished - 2016
外部発表はい

ASJC Scopus subject areas

  • 離散数学と組合せ数学
  • 応用数学

フィンガープリント

「Approximation of optimal prices when basic data are weakly dependent」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル