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Local prelimit theorems and their applications to finance

✍ Scribed by L.B. Klebanov; S.T. Rachev; M. Safarian

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
332 KB
Volume
13
Category
Article
ISSN
0893-9659

No coin nor oath required. For personal study only.

✦ Synopsis

We derive a new type of "prelimit" theorems for sums of random number of random variables. As an application, we show that the distribution of asset returns can be approximated by truncated L6vy flights.

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