Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets
Анотація
We consider the discrete approximation scheme for the price of an asset that is modeled by the geometric OrnsteinâUhlenbeck process. The approximation scheme corresponds to Euler type discrete-time approximations where the increments of the Wiener process are changed by independent identically distributed Bernoulli random variables. The rate of convergence of both objective and fair option prices is estimated by using the classical results on the rate of convergence to the normal law of the distribution functions of sums of identically distributed random variables. We analyze option prices and specific changes in a model where the martingale measure is used instead of the objective measure.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
On Distributional Properties of Perpetuities
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Exact Asymptotic for Distribution Densities of Lévy Functionals
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
New and refined bounds for expected maxima of fractional Brownian motion
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
On a skew stable Lévy process
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models