Mehta, Salil (2013): Sophisticated gambler’s ruin and survival chances.
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Abstract
This note explores the mathematical theory to solve modern gambler’s ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Sophisticated gambler’s ruin and survival chances |
| Language: | English |
| Keywords: | mathematical theory, gambler’s ruin, statistics, risk, probability, bankruptcy, finance, asymmetrical views, investments |
| Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions |
| Item ID: | 54731 |
| Depositing User: | Salil Mehta |
| Date Deposited: | 27 Mar 2014 15:31 |
| Last Modified: | 10 Oct 2019 12:31 |
| References: | Mosteller, Fifty Challenging Problems in Probability, 1965, Dover Ross, A First Course in Probability, 1998, Prentice Hall Luenberger, Investment Science, 1998, Oxford Hull, Options, Future, and Other Derivatives, 2000, Prentice Hall Jorion, Value at Risk, 2007, McGraw Hill |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/54731 |
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