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Title: Research of purchase option in case of hedging with set probability
Authors: Dyomin, N. S.
Trunov, А. I.
Keywords: researches; option; purchase; hedging; probability; formulas; evolution; portfolios; capitals; European options; fractile hedging; continuous time; diffusion models; financial markets; properties
Issue Date: 2007
Publisher: Томский политехнический университет
Citation: Dyomin N. S. Research of purchase option in case of hedging with set probability / N. S. Dyomin, А. I. Trunov // Bulletin of the Tomsk Polytechnic University. — 2007. — Vol. 310, № 2. — [P. 46-51].
Abstract: The formulas defining option cost and also evolution in time of portfolio and capital for the European option of purchase in case of hedging with set probability (fractile hedging) at continuous time and diffusion model of the (B, S)-financial market have obtained. Some properties of solution are investigated.
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