Ruin probability for a portfolio including options

DOI10.1023/A:1020284708110zbMATH Open1024.91012OpenAlexW117744089MaRDI QIDQ1850774FDOQ1850774

Authors: M. A. Volshtein 

Publication date: 26 November 2003

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020284708110

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zbMATH Keywords

portfolioruin probabilityoptimal strategycall optionbondstockput option

Mathematics Subject Classification ID

Cited In (1)

• Analytische Evaluation des Risiko-Chance-Profils kombinierter Aktien- und Optionsstrategien

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