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Sophisticated gamblers ruin and survival chances

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  • Salil Mehta

Abstract

This note explores the mathematical theory to solve modern gamblers 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.

Suggested Citation

  • Salil Mehta, 2014. "Sophisticated gamblers ruin and survival chances," Papers 1403.5833, arXiv.org.
  • Handle: RePEc:arx:papers:1403.5833
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    File URL: http://arxiv.org/pdf/1403.5833
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    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Scarce 5%-corrections, worldwide
      by Salil Mehta in Statistical Ideas on 2017-07-27 07:08:00

    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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