On quantitative approximation of stochastic integrals with respect to the geometric Brownian motion
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...
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| Format: | Others |
| Language: | en |
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SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
1999
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| Online Access: | http://epub.wu.ac.at/1774/1/document.pdf |