094026 (E50) Introduction to option pricing in a securities market — II: Poisson approximation : Dzhaparidze K., CWI Quarterly, Volume 10, No. 1, 1997, pp. 65–100

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 84 KB
• Volume: 21
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(97)80418-0

✦ Synopsis

In this part of the lecture notes on securities trading we aim at the limiting transition from a binary market of part I towards the Poisson market described in Section 4. The conditions for this are formulated in Section 3, and the results in Section 5. The Poisson model describes the situation when the stock price develops with sudden jumps of a constant amplitude at random instants.