Diffusion approximation for average investor's income with loss risk

DOI10.1007/S10958-015-2232-9zbMATH Open1367.91180OpenAlexW2020469407MaRDI QIDQ493869FDOQ493869

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

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Mathematics Subject Classification ID

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

Cites Work

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• On option pricing in the multidimensional Cox-Ross-Rubinstein model
• Asymptotics of riskless profit under selling of discrete time call options
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Cited In (1)

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