| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154863 | Statistics & Probability Letters | 2007 | 9 Pages |
Abstract
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 condition for the binary model to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Akihiko Inoue, Yumiharu Nakano, Vo Anh,