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Main mathematical characteristics of payment functional
Lund University, Lund, Sweden.
2012 (Ukrainian)In: Bulletin of the Lviv University, Series in Mathematics & Informatics, ISSN 2078-3744, no 18, 157-164 p.Article in journal (Refereed) Published
Abstract [en]

The aim of our work was to calculate basic mathematical characteristics of payment functional, such as mathematical expectation, variation and expected risk in discrete and continuous market models. In our paper we present a model of financial market in which the entire time interval in the continuous model is divided into steps with exponential distribution, and in the discrete model into steps of length 1. Using the appropriate ergodic theorems for continuous and discrete Markov chains we have found the mathematical expectation, variation and expected risk. The results have theoretical and practical application in verifying the accuracy of modeling prices of derivative securities in the economy and finance.

Place, publisher, year, edition, pages
Lviv, Ukraine: University of Lviv , 2012. no 18, 157-164 p.
National Category
Probability Theory and Statistics
Research subject
Mathematics
Identifiers
URN: urn:nbn:se:oru:diva-54854OAI: oai:DiVA.org:oru-54854DiVA: diva2:1066899
Available from: 2017-01-19 Created: 2017-01-20 Last updated: 2017-01-20Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
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