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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 |
| Appears in Collections: | Известия Томского политехнического университета. Инжиниринг георесурсов |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| bulletin_tpu-2007-310eng-2-09.pdf | 320,98 kB | Adobe PDF | View/Open |
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