Central limit theorem in the double profit model

Abstract

The article aims to develop a double profit model for financial markets (including the stock market, derivatives, bonds, etc.) represented by a random walk in one-dimensional space. It seeks to determine the probability law of this model using the moment method, as previously reported by Depauw and Derrien (2009) and Lam (2014). Specifically, the article proves that the examined model converges to a normal distribution. This study can be considered a significant improvement over the models analyzed in Lam Hoang Chuong and Duong Thi Be Ba (Lam & Duong, 2017), and Lam Hoang Chuong et al. (Lam et al., 2021).