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DIFFUSION APPROXIMATION OF RECURRENT SCHEMES FOR FINANCIAL MARKETS, WITH APPLICATION TO THE ORNSTEIN-UHLENBECK PROCESS.
- Source :
-
Opuscula Mathematica . 2015, Vol. 35 Issue 1, p99-116. 18p. - Publication Year :
- 2015
-
Abstract
- We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model. These results generalize a classical scheme of the weak convergence for discrete-time markets to the Black-Scholes model. We give an explicit and direct method of approximation by a recurrent scheme. As an example, an Ornstein-Uhlenbeck process is considered as a limit model. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 12329274
- Volume :
- 35
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Opuscula Mathematica
- Publication Type :
- Academic Journal
- Accession number :
- 99641917
- Full Text :
- https://doi.org/10.7494/OpMath.2015.35.1.99