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math.PR2018
Lyapunov exponent and variance in the CLT for products of random matrices related to random Fibonacci sequences
Rajeshwari Majumdar, Phanuel Mariano, Hugo Panzo +2
We consider three matrix models of order 2 with one random entry and the other three entries being deterministic. In the first model, we let $ε\sim\textrm{Bernoulli}\left(\frac…
q-fin.GN2018
A derivation of the Black-Scholes option pricing model using a central limit theorem argument
Rajeshwari Majumdar, Phanuel Mariano, Lowen Peng +1
The Black-Scholes model (sometimes known as the Black-Scholes-Merton model) gives a theoretical estimate for the price of European options. The price evolution under this model is…