Asymptotics of riskless profit under selling of discrete time call options
DOI10.4064/AM30-2-3zbMATH Open1055.91031OpenAlexW2065488888MaRDI QIDQ4425014FDOQ4425014
Authors: 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
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- Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
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- Diffusion approximation for average investor's income with loss risk
- Richter's local limit theorem and Black-Scholes type formulas
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