Quantile Hedging in Diffusion (B, S) – Market for European Call Option

Quantile Hedging in Diffusion (B, S) – Market for European Call Option

Détails bibliographiques
Parent link:Proceedings of conference IACSS 2013: international Academic Conference on Social Sciences, Istanbul, Turkey, 27-28 July. [P. 302-306].— , 2013
Auteur principal: Daniliuc Elena
Collectivité auteur: Национальный исследовательский Томский политехнический университет (ТПУ) Физико-технический институт (ФТИ) Кафедра высшей математики (ВМ)
Autres auteurs: Rozhkova S. V. Svetlana Vladimirovna
Résumé:Title screen
The problem of an option is considered. Investigation of portfolio (hedging strategy) and capital evolution out time providing the payment obligation with set probability is conducted for European call option when dividends on risk active are paid. Specific properties of decision are investigated.
Publié: 2013
Sujets:
электронный ресурс
труды учёных ТПУ
Accès en ligne:https://iacss2013.files.wordpress.com/2013/08/iacss-2013-proceedings-book2.pdf
Format: Électronique Chapitre de livre
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=640837

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