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 |
|---|---|
| Հիմնական հեղինակ: | |
| Այլ հեղինակներ: | |
| Ամփոփում: | 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 |
| Լեզու: | ռուսերեն |
| Հրապարակվել է: |
2011
|
| Խորագրեր: | |
| Ձևաչափ: | Գրքի գլուխ |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=601942 |
MARC
| LEADER | 00000naa0a2200000 4500 | ||
|---|---|---|---|
| 001 | 601942 | ||
| 005 | 20250224090706.0 | ||
| 035 | |a (RuTPU)RU\TPU\tpu\27127 | ||
| 090 | |a 601942 | ||
| 100 | |a 20150420d2011 k||y0rusy50 ca | ||
| 101 | 0 | |a rus | |
| 102 | |a RU | ||
| 200 | 1 | |a Research of fixed strike lookback put option on extremes in diffusion model (B, S) - financial market |f S. V. Rozhkova, N. S. Dyomin | |
| 320 | |a References: 8 tit. | ||
| 330 | |a 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. | ||
| 333 | |a В фонде НТБ ТПУ отсутствует | ||
| 461 | |t IFAC Proceedings Volumes |o 18th IFAC world congress, Milano, 28 августа - 02 сентября 2011 г. |d 2011 | ||
| 463 | |t Vol. 18, Iss. 1 |v P. 835-839 |d 2011 | ||
| 610 | 1 | |a труды учёных ТПУ | |
| 700 | 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 | |
| 701 | 1 | |a Dyomin |b N. S. | |
| 801 | 1 | |a RU |b 63413507 |c 20150420 | |
| 801 | 2 | |a RU |b 63413507 |c 20150429 |g RCR | |
| 942 | |c CR | ||