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| 001 | 601942 | ||
| 005 | 20231030033940.0 | ||
| 035 | _a(RuTPU)RU\TPU\tpu\27127 | ||
| 090 | _a601942 | ||
| 100 | _a20150420a2011 k y0rusy50 ca | ||
| 101 | 0 | _arus | |
| 102 | _aRU | ||
| 200 | 1 |
_aResearch of fixed strike lookback put option on extremes in diffusion model (B, S) - financial market _fS. V. Rozhkova, N. S. Dyomin |
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| 320 | _aReferences: 8 tit. | ||
| 330 | _aThe problem under consideration is that of risk hedging in the financial market by means of the put option which belongs to the options extremes class when there is a capital inflow in the form of dividends by an underlying asset. 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. | ||
| 333 | _aВ фонде НТБ ТПУ отсутствует | ||
| 461 |
_tIFAC Proceedings Volumes _o18th IFAC world congress, Milano, 28 августа - 02 сентября 2011 г. _d2011 |
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| 463 |
_tVol. 18, Iss. 1 _vP. 835-839 _d2011 |
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| 610 | 1 | _aтруды учёных ТПУ | |
| 700 | 1 |
_aRozhkova _bS. V. _cmathematician _cProfessor of Tomsk Polytechnic University, Doctor of Physical and Mathematical Sciences _f1971- _gSvetlana Vladimirovna _xTPU _2stltpush _3(RuTPU)RU\TPU\pers\34139 |
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| 701 | 1 |
_aDyomin _bN. S. |
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| 801 | 1 |
_aRU _b63413507 _c20150420 |
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| 801 | 2 |
_aRU _b63413507 _c20150429 _gRCR |
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| 942 | _cBK | ||