Application of probability methods to research of one type of exotic options in diffusion model (B, S)- of the financial market
| Parent link: | Bulletin of the Tomsk Polytechnic University/ Tomsk Polytechnic University (TPU).— , 2006-2007 Vol. 310, № 2.— 2007.— [P. 42-45] |
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| Autor principal: | |
| Altres autors: | , |
| Sumari: | Заглавие с титульного листа Электронная версия печатной публикации The decision of optimum hedging problem for the European options of purchase and sale of the exotic type when possible payments on options are limited by the set value is resulted. The formulas defining costs of options and also evolution in time of portfolios and capitals, i. e. hedging strategy and corresponding to them are obtained. Some properties of decisions are investigated. |
| Idioma: | anglès |
| Publicat: |
2007
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| Col·lecció: | Mathematics and mechanics. Physics |
| Matèries: | |
| Accés en línia: | http://www.lib.tpu.ru/fulltext/v/Bulletin_TPU/2007/v310eng/i2/09.pdf |
| Format: | Electrònic Capítol de llibre |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=181723 |
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| 200 | 1 | |a Application of probability methods to research of one type of exotic options in diffusion model (B, S)- of the financial market |f А. V. Anikina, N. S. Demin, S. V. Rozhkova | |
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| 320 | |a [Bibliography: p. 45 (9 titles)] | ||
| 330 | |a The decision of optimum hedging problem for the European options of purchase and sale of the exotic type when possible payments on options are limited by the set value is resulted. The formulas defining costs of options and also evolution in time of portfolios and capitals, i. e. hedging strategy and corresponding to them are obtained. Some properties of decisions are investigated. | ||
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| 610 | 1 | |a capitals | |
| 610 | 1 | |a hedging strategy | |
| 610 | 1 | |a properties | |
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| 610 | 1 | |a электронный ресурс | |
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| 700 | 1 | |a Anikina |b А. V. | |
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| 701 | 1 | |a Rozhkova |b S. V. |c mathematician |c Professor of Tomsk Polytechnic University, Doctor of Physical and Mathematical Sciences |f 1971- |g Svetlana Vladimirovna |3 (RuTPU)RU\TPU\pers\34139 |9 17679 | |
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