2 results
A Diffusion Limit for Generalized Correlated Random Walks
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 43 / Issue 1 / March 2006
- Published online by Cambridge University Press:
- 14 July 2016, pp. 60-73
- Print publication:
- March 2006
-
- Article
-
- You have access
- Export citation
-
A generalized correlated random walk is a process of partial sums
such that (X, Y) forms a Markov chain. For a sequence (Xn) of such processes in which each 
takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly described in terms of the limiting behaviour of the transition probabilities for the Yn. Applications include asymptotics of option replication under transaction costs and approximation of a given diffusion by regular recombining binomial trees.
such that (
takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly described in terms of the limiting behaviour of the transition probabilities for the Hedging contingent claims for a large investor in an incomplete market
- Part of
-
- Journal:
- Advances in Applied Probability / Volume 30 / Issue 1 / March 1998
- Published online by Cambridge University Press:
- 01 July 2016, pp. 239-255
- Print publication:
- March 1998
-
- Article
- Export citation
