Hedging of the Barrier Put Option in a Diffusion (B, S) – Market in case of Dividends Payment on a Risk Active; IFAC-PapersOnLine; Vol. 48, iss. 25 : 16th IFAC Workshop on Control Applications of Optimization CAO’2015 Garmisch-Partenkirchen, Germany, 6–9 October 2015
| Parent link: | IFAC-PapersOnLine Vol. 48, iss. 25 : 16th IFAC Workshop on Control Applications of Optimization CAO’2015 Garmisch-Partenkirchen, Germany, 6–9 October 2015.— 2015.— [P. 34-38] |
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| Riassunto: | Title screen Barrier European put option formed by additional clause putting in option contract with payment limitation for issuer and guaranteed income for holder of the security are researched when dividends on base risk active are paid. The equitable price, the optimal portfolio and a size of the capital answered the hedging strategy are founded for the options under consideration on diffusion (B, S)-financial market. Comparative price analysis for two option classes is carried out and specific properties of decision and decision under limiting are explored. Режим доступа: по договору с организацией-держателем ресурса |
| Lingua: | inglese |
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2015
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| Accesso online: | http://dx.doi.org/10.1016/j.ifacol.2015.11.055 |
| Natura: | Elettronico Capitolo di libro |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648681 |
| Riassunto: | Title screen Barrier European put option formed by additional clause putting in option contract with payment limitation for issuer and guaranteed income for holder of the security are researched when dividends on base risk active are paid. The equitable price, the optimal portfolio and a size of the capital answered the hedging strategy are founded for the options under consideration on diffusion (B, S)-financial market. Comparative price analysis for two option classes is carried out and specific properties of decision and decision under limiting are explored. Режим доступа: по договору с организацией-держателем ресурса |
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| DOI: | 10.1016/j.ifacol.2015.11.055 |