Asymptotics of riskless profit under selling of discrete time call options

DOI10.4064/AM30-2-3MaRDI QIDQ4425014zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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(6)

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• Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
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• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

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