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

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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]
Tác giả chính: Danilyuk E. Yu. Elena Yurjevna
Tác giả của công ty: Национальный исследовательский Томский политехнический университет (ТПУ) Физико-технический институт (ФТИ) Кафедра высшей математики (ВМ)
Tác giả khác: Rozhkova S. V. Svetlana Vladimirovna
Tóm tắt: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
Ngôn ngữ:Tiếng Anh
Được phát hành: 2015
Những chủ đề:
Truy cập trực tuyến:http://dx.doi.org/10.1016/j.ifacol.2015.11.055
Định dạng: Điện tử Chương của sách
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648681

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