Minimizing the Probability of Lifetime Exponential Parisian Ruin
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DOI: 10.1007/s10957-019-01595-8
Abstract: We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin , that is, the probability that wealth exhibits an excursion below zero of an exponentially… read more here.
Keywords: lifetime exponential; probability; exponential parisian; probability lifetime ... See more keywords