Arash Fahim

Florida State University - Department of Mathematics

Tallahassee, FL 32306

United States

SCHOLARLY PAPERS

4

DOWNLOADS

212

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Volatility Can Be Detrimental to Option Values!

Stevens Institute of Technology School of Business Research Paper No. 2837292
Number of pages: 13 Posted: 12 Sep 2016 Last Revised: 16 Jan 2017
Hamed Ghoddusi and Arash Fahim
Stevens Institute of Technology - School of Business and Florida State University - Department of Mathematics
Downloads 98 (273,024)
Citation 1

Abstract:

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Digital Options, Hitting Probability, Volatility, Non-Monoton Option Value

2.

Optimal Investment in a Dual Risk Model

Number of pages: 32 Posted: 18 Oct 2015
Arash Fahim and Lingjiong Zhu
Florida State University - Department of Mathematics and University of Minnesota - Minneapolis
Downloads 48 (401,634)
Citation 2

Abstract:

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dual risk model, minimizing ruin probability, optimal investment

3.

Model-Independent Superhedging Under Portfolio Constraints

Number of pages: 27 Posted: 13 Feb 2014 Last Revised: 18 Jan 2015
Arash Fahim and Yu-Jui Huang
Florida State University - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 40 (431,453)
Citation 2

Abstract:

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model-independent pricing, robust superhedging, fundamental theorem of asset pricing, portfolio constraints, Monge-Kantorovich optimal transport

4.

Asymptotic Analysis for Optimal Dividends in a Dual Risk Model

Number of pages: 23 Posted: 17 Jan 2016
Arash Fahim and Lingjiong Zhu
Florida State University - Department of Mathematics and University of Minnesota - Minneapolis
Downloads 26 (496,101)

Abstract:

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dual risk model, optimal dividends, asymptotic analysis