On fluctuations of a multivariate random walk with some applications to stock options trading and hedging

DOI10.1016/j.mcm.2006.02.022zbMath1133.91416MaRDI QIDQ2426067

Jewgeni H. Dshalalow, Agatha Liew

Publication date: 17 April 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2006.02.022

zbMATH Keywords

fluctuations; marked point process; random walk; first passage time; renewal process; marked Poisson process; first excess level; exit index

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

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