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

DOI10.1016/j.mcm.2006.02.022zbMath1133.91416OpenAlexW2010624285MaRDI 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

fluctuationsmarked point processrandom walkfirst passage timerenewal processmarked Poisson processfirst excess levelexit index

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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