Approximation of optimal prices when basic data are weakly dependent

MaRDI QIDQ2814608zbMATH OpenFDO

Authors Tatsuhiko Saigo, Hiroshi Takahashi, Ken-ichi Yoshihara

Publication date 22 June 2016

Published in Dynamics of Continuous, Discrete \& Impulsive Systems. Series B. Applications \& Algorithms (Search for Journal in Brave)

Full work available at URL http://online.watsci.org/abstract_pdf/2016v23/v23n3b-pdf/4.pdf, http://online.watsci.org/fulltext_b_pdf/2016v23/v23n3b-pdf/4.pdf

zbMATH Keywords

Black-Scholes type stochastic differential equationdifference equationstationary sequenceweakly dependent random variableWiener process

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Applications of difference equations (39A60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Asymptotic behavior of solutions of Black-Scholes type equations based on weakly dependent random variables

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