Displaying similar documents to “Asymptotics of riskless profit under selling of discrete time call options”

Kinetic BGK model for a crowd: Crowd characterized by a state of equilibrium

Abdelghani El Mousaoui, Pierre Argoul, Mohammed El Rhabi, Abdelilah Hakim (2021)

Applications of Mathematics

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This article focuses on dynamic description of the collective pedestrian motion based on the kinetic model of Bhatnagar-Gross-Krook. The proposed mathematical model is based on a tendency of pedestrians to reach a state of equilibrium within a certain time of relaxation. An approximation of the Maxwellian function representing this equilibrium state is determined. A result of the existence and uniqueness of the discrete velocity model is demonstrated. Thus, the convergence of the solution...

Generalized CreditRisk+ model and applications

Jakub Szotek (2015)

Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica

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In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.

Hedging of the European option in discrete time under transaction costs depending on time

Marek Andrzej Kociński (2010)

Applicationes Mathematicae

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Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.