Hedging of the Barrier Put Option in a Diffusion (B, S) – Market in case of Dividends Payment on a Risk Active / E. Yu. Danilyuk, S. V. Rozhkova
Уровень набора: IFAC-PapersOnLineЯзык: английский.Страна: .Резюме или реферат: 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..Примечания о наличии в документе библиографии/указателя: [References: 9 tit.].Аудитория: .Тематика: электронный ресурс | труды учёных ТПУ | финансовый рынок | стохастическая финансовая математика | опционы | хеджирование | дивиденды Ресурсы он-лайн:Щелкните здесь для доступа в онлайнНет реальных экземпляров для этой записи
Title screen
[References: 9 tit.]
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.
Для данного заглавия нет комментариев.
Личный кабинет оставить комментарий.