Hedging of the Barrier Put Option in a Diffusion (B, S) – Market in case of Dividends Payment on a Risk Active

Hedging of the Barrier Put Option in a Diffusion (B, S) – Market in case of Dividends Payment on a Risk Active

Bibliographic Details
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]
Main Author: Danilyuk E. Yu. Elena Yurjevna
Corporate Author: Национальный исследовательский Томский политехнический университет (ТПУ) Физико-технический институт (ФТИ) Кафедра высшей математики (ВМ)
Other Authors: Rozhkova S. V. Svetlana Vladimirovna
Summary: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
Published: 2015
Subjects:
электронный ресурс
труды учёных ТПУ
финансовый рынок
стохастическая финансовая математика
опционы
хеджирование
дивиденды
Online Access:http://dx.doi.org/10.1016/j.ifacol.2015.11.055
Format: Electronic Book Chapter
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648681

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