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Sibirskii Zhurnal Industrial'noi Matematiki, 2013, Volume 16, Number 4, Pages 21–28
(Mi sjim801)
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Random walks with missing summands
G. I. Belyavskiia, N. V. Danilovaa, N. D. Nikonenkob a South Federal University, 105/42 Bolshaya Sadovaya st., 344006 Rostov-on-Don
b The South Russian Institute of the Russian Presidential Academy of National Economy and Public Administration, 70 Pushkinskaya st., 344002 Rostov-on-Don
Abstract:
We consider a new model of the behavior of the cost of a risky asset in which a random walk with missing summands is used, formulas for the computation of the process of fair prices for a financial commitment in the stationary and nonstationary cases are deduced.
Keywords:
random walk, martingale measure, Fourier integral, Esscher transform.
Received: 10.07.2013
Citation:
G. I. Belyavskii, N. V. Danilova, N. D. Nikonenko, “Random walks with missing summands”, Sib. Zh. Ind. Mat., 16:4 (2013), 21–28
Linking options:
https://www.mathnet.ru/eng/sjim801 https://www.mathnet.ru/eng/sjim/v16/i4/p21
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Statistics & downloads: |
Abstract page: | 387 | Full-text PDF : | 121 | References: | 65 | First page: | 8 |
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