A paradox of diffusion market model related with existence of winning combinations of options

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dc.creatorDokuchaev, Nikolai
dc.date2001-03-19
dc.date.accessioned2026-07-07T12:11:07Z
dc.date.available2026-07-07T12:11:07Z
dc.descriptionWe consider strategies of investments into options and diffusion market model. It is shown that there exists a correct proportion between "put" and "call" in the portfolio such that the average gain is almost always positive for a generic Black and Scholes model. This gain is zero if and only if the market price of risk is zero. It is discussed a paradox related to the corresponding loss of option's seller.
dc.description8 pages
dc.identifierhttps://arxiv.org/abs/math/0103118
dc.identifierhttp://arxiv.org/abs/math/0103118
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210126
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectComputational Finance
dc.titleA paradox of diffusion market model related with existence of winning combinations of options
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