Please use this identifier to cite or link to this item: http://earchive.tpu.ru/handle/11683/5989
Title: Application of probability methods to research of one type of exotic options in diffusion model (B, S)- of the financial market
Authors: Anikina, А. V.
Demin, N. S.
Rozhkova, Svetlana Vladimirovna
Keywords: probability methods; researches; exotic options; diffusion model; financial markets; problems; hedging; European options; purchase and sale; exotic type; payments; costs; evolution; portfolios; capitals; hedging strategy; properties
Issue Date: 2007
Publisher: Томский политехнический университет
Citation: Anikina А. V. Application of probability methods to research of one type of exotic options in diffusion model (B, S)- of the financial market / А. V. Anikina, N. S. Demin, S. V. Rozhkova // Bulletin of the Tomsk Polytechnic University. — 2007. — Vol. 310, № 2. — [P. 42-45].
Abstract: The decision of optimum hedging problem for the European options of purchase and sale of the exotic type when possible payments on options are limited by the set value is resulted. 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.
URI: http://earchive.tpu.ru/handle/11683/5989
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