Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process

• Autorzy: Mishura Y.

Identyfikatory

DOI

http://dx.doi.Org/10.7494/OpMath.2015.35.l.99

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

diffusion approximation; semimartingale; recurrent scheme; financial market; multiplicative scheme; Ornstein-Uhlenbeck process

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2015
• Tom: Vol. 35, no. 1
• Strony: 99--116
• Opis fizyczny: Bibliogr. 24 poz.

Twórcy

autor

Mishura Y.

• Taras Shevchenko National University of Kyiv Faculty of Mechanics and Mathematics Department of Probability, Statistics and Actuarial Mathematics Volodymyrska 64, 01601 Kyiv, Ukraine

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