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.
|ジャーナル||Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms|
|出版ステータス||Published - 2016|
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