Binary market models with memory

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dc.creatorInoue, Akihiko
dc.creatorNakano, Yumiharu
dc.creatorAnh, Vo
dc.date2004-08-09
dc.date.accessioned2026-07-07T05:11:09Z
dc.date.available2026-07-07T05:11:09Z
dc.descriptionWe 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.
dc.description13 pages
dc.identifierhttps://arxiv.org/abs/math/0408119
dc.identifierhttp://arxiv.org/abs/math/0408119
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/72144
dc.subjectProbability
dc.subjectPrimary 91B28; secondary 60F1
dc.titleBinary market models with memory
dc.typetext

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