Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active

E. Daniliuk, S. Rozhkova

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Original languageEnglish
Title of host publicationIFAC Proceedings Volumes (IFAC-PapersOnline)
PublisherIFAC Secretariat
Pages34-38
Number of pages5
Volume48
Edition25
DOIs
Publication statusPublished - 1 Oct 2015
Event16th IFAC Workshop on Control Applications of Optimization, CAO 2015 - Garmisch-Partenkirchen, Germany
Duration: 6 Oct 20159 Oct 2015

Other

Other16th IFAC Workshop on Control Applications of Optimization, CAO 2015
CountryGermany
CityGarmisch-Partenkirchen
Period6.10.159.10.15

Keywords

  • Barrier European put option
  • Dividends
  • Financial market
  • Hedging strategy
  • Option price
  • Put option with guaranteed income for holder of the security
  • Stochastic financial mathematics

ASJC Scopus subject areas

  • Control and Systems Engineering

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  • Activities

    • 1 Participation in workshop, seminar, course

    16th IFAC Workshop on Control Applications of Optimization, CAO 2015

    Svetlana Vladimirovna Rozhkova (Participant)
    6 Oct 20159 Oct 2015

    Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

    Cite this

    Daniliuk, E., & Rozhkova, S. (2015). Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. In IFAC Proceedings Volumes (IFAC-PapersOnline) (25 ed., Vol. 48, pp. 34-38). IFAC Secretariat. https://doi.org/10.1016/j.ifacol.2015.11.055