Diffusion approximation for average investor's income with loss risk

DOI10.1007/S10958-015-2232-9zbMath1367.91180OpenAlexW2020469407MaRDI QIDQ493869

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)

Cites Work

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

This page was built for publication: Diffusion approximation for average investor's income with loss risk