Research of fixed strike lookback put option on extremes in diffusion model (B, S) - financial market; IFAC Proceedings Volumes; Vol. 18, Iss. 1
| Parent link: | IFAC Proceedings Volumes: 18th IFAC world congress, Milano, 28 августа - 02 сентября 2011 г..— , 2011 Vol. 18, Iss. 1.— 2011.— P. 835-839 |
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| 要約: | The problem under consideration is that of risk hedging in the financial market by means of the put option which belongs to the options extremes class when there is a capital inflow in the form of dividends by an underlying asset. 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. В фонде НТБ ТПУ отсутствует |
| 言語: | ロシア語 |
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2011
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| フォーマット: | 図書の章 |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=601942 |
| 要約: | The problem under consideration is that of risk hedging in the financial market by means of the put option which belongs to the options extremes class when there is a capital inflow in the form of dividends by an underlying asset. 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. В фонде НТБ ТПУ отсутствует |
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