带记忆的二元市场模型
Binary market models with memory
摘要：
我们构造了一个具有记忆的二元市场模型，它近似于一个由等价于布朗运动的高斯过程驱动的连续时间市场模型。给出了二元市场无仲裁的一个充分条件。在存在套利机会的情况下，我们给出了当周期数趋于无穷大时套利概率趋于零的比率。
英文摘要：
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a case when arbitrage opportunities exist, we present the rate at which the arbitrage probability tends to zero as the number of periods goes to infinity.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
