G. I. Belyavskii, N. V. Danilova, N. D. Nikonenko, “Random walks with missing summands”, Sib. Zh. Ind. Mat., 2013, Volume 16, Number 4,Pages <nobr>21

Random walks with missing summands

G. I. Belyavskii^a, N. V. Danilova^a, N. D. Nikonenko^b

^a South Federal University, 105/42 Bolshaya Sadovaya st., 344006 Rostov-on-Don
^b The South Russian Institute of the Russian Presidential Academy of National Economy and Public Administration, 70 Pushkinskaya st., 344002 Rostov-on-Don

Abstract: We consider a new model of the behavior of the cost of a risky asset in which a random walk with missing summands is used, formulas for the computation of the process of fair prices for a financial commitment in the stationary and nonstationary cases are deduced.

Keywords: random walk, martingale measure, Fourier integral, Esscher transform.

UDC: 519.2

Received: 10.07.2013