Main mathematical characteristics of payment functional

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Mathematics

Matematik

Publikations- och innehållstyp

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