Binary market models with memory

Statistics and Probability Letters

Volumn 77, Issue 3, 2007, Pages 256-264

  Inoue, Akihiko ^a   Nakano, Yumiharu ^b   Anh, Vo ^c  

^a HOKKAIDO UNIVERSITY   (Japan)

^b OSAKA UNIVERSITY   (Japan)

^c QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Arbitrage; Binary market; Financial market with memory

Indexed keywords

EID: 33751513064     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2006.07.007     Document Type: Article

References (9)

1. Anh V., and Inoue A. Financial markets with memory I: dynamic models. Stochastic Anal. Appl. 23 (2005) 275-300
2. Anh V., Inoue A., and Kasahara Y. Financial markets with memory II: innovation processes and expected utility maximization. Stochastic Anal. Appl. 23 (2005) 301-328
3. Billingsley P. Convergence of Probability Measures (1968), Chapman & Hall, New York
4. Dzhaparidze K. Introduction to option pricing in a securities market I: binary models. CWI Quarterly 9 (1996) 319-355
5. Hida T., and Hitsuda M. Gaussian Processes (1991), American Mathematical Society, Providence, RI
6. Inoue, A., Nakano, Y., Anh, V., 2006. Linear filtering of systems with memory and application to finance. J. Appl. Math. Stochastic Anal., pp. 1-26.
7. Liptser R.S., and Shiryayev A.N. Statistics of Random Processes. I. General Theory. second ed. (2001), Springer, New York
8. Sottinen T. Fractional Brownian motion, random walks and binary market models. Finance Stochastic 5 (2001) 343-355
9. Williams D. Probability with Martingales (1991), Cambridge University Press, Cambridge