Asymptotics of riskless profit under selling of discrete time call options

DOI10.4064/am30-2-3zbMath1055.91031OpenAlexW2065488888MaRDI QIDQ4425014

S. A. Nagaev, Alexander V. Nagaev

Publication date: 9 September 2003

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-2-3

zbMATH Keywords

asymptotic uniformityweak convergence in \(D[0,1\)]

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Diffusion approximation for average investor's income with loss risk ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Richter's local limit theorem and Black-Scholes type formulas ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market

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