On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion

Geiss, Stefan (1999) On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 43. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

We approximate stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used. This corresponds to the approximation of a continuously adjusted portfolio by a discretely adjusted one. We compute the approximation orders of European Options in the Black Scholes model with respect to L_2 and the approximation order of the standard European-Call and Put Option with respect to an appropriate BMO space, which gives information about the cost process of the discretely adjusted portfolio. (author's abstract)

Item Type: Paper
Keywords: stochastische Integralgleichung / Finanzmathematik
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 08 Mar 2002 10:14
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/1774

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