Diffusion approximation for average investor's income with loss risk

DOI10.1007/S10958-015-2232-9MaRDI QIDQ493869zbMATH OpenOpenAlexFDO

Authors Alexander V. Nagaev

Publication date 4 September 2015

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-015-2232-9

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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• Asymptotics of riskless profit under selling of discrete time call options
• On option pricing in the multidimensional Cox-Ross-Rubinstein model

Cited in

(1)

• scientific article; zbMATH DE number 2036015 (Why is no real title available?)

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