Binary market models with memory

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We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.
13 pages

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Probability, Primary 91B28; secondary 60F1

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http://salesiana.dossiersoluciones.com/handle/123456789/72144

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0408119
 http://arxiv.org/abs/math/0408119

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arXiv