Asymptotics of riskless profit under selling of discrete time call options
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Publication:4425014
DOI10.4064/am30-2-3zbMath1055.91031MaRDI 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
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G50: Sums of independent random variables; random walks
91G20: Derivative securities (option pricing, hedging, etc.)
60F17: Functional limit theorems; invariance principles
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