Geodesic
Asymptotics of riskless profit under selling of discrete time call options
A. V. Nagaev1 ; S. A. Nagaev2
1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University 12/18 Chopin St. 87-100 Toruń, Poland
2 Institute of Advanced Studies 56 Stumpergasse 1060 Wien, Austria
Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 173-191 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.
DOI : 10.4064/am30-2-3
Keywords: discrete time model financial market considered focus attention guaranteed profit investor which arises jumps stock price bounded limit distribution profit model becomes closer classic model geometrical brownian motion established interest approximating continuous time model does assume profit

A. V. Nagaev 1 ; S. A. Nagaev 2

1 Faculty of Mathematics and Computer Science Nicolaus Copernicus University 12/18 Chopin St. 87-100 Toruń, Poland
2 Institute of Advanced Studies 56 Stumpergasse 1060 Wien, Austria 
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 under selling of discrete time call options},
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 under selling of discrete time call options
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 under selling of discrete time call options
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A. V. Nagaev; S. A. Nagaev. Asymptotics of riskless profit
 under selling of discrete time call options. Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 173-191. doi: 10.4064/am30-2-3

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