Ruin probability for a portfolio including options

DOI10.1023/A:1020284708110MaRDI QIDQ1850774zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolioruin probabilityoptimal strategycall optionbondstockput option

Mathematics Subject Classification ID

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Cited in

(1)

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

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