A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-3,
author = {A. V. Nagaev and S. A. Nagaev},
title = {Asymptotics of riskless profit under selling of discrete time call options},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {173-191},
zbl = {1055.91031},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-3}
}
A. V. Nagaev; S. A. Nagaev. Asymptotics of riskless profit under selling of discrete time call options. Applicationes Mathematicae, Tome 30 (2003) pp. 173-191. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-3/