Binary market models with memory
Probability
2007-05-23 v1
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 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.
Keywords
Cite
@article{arxiv.math/0408119,
title = {Binary market models with memory},
author = {Akihiko Inoue and Yumiharu Nakano and Vo Anh},
journal= {arXiv preprint arXiv:math/0408119},
year = {2007}
}
Comments
13 pages