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We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...
Persistent link: https://www.econbiz.de/10005699619
index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646