Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active — National Research Tomsk Polytechnic University

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 language	English
Title of host publication	IFAC Proceedings Volumes (IFAC-PapersOnline)
Publisher	IFAC Secretariat
Pages	34-38
Number of pages	5
Volume	48
Edition	25
DOIs	https://doi.org/10.1016/j.ifacol.2015.11.055
Publication status	Published - 1 Oct 2015
Event	16th IFAC Workshop on Control Applications of Optimization, CAO 2015 - Garmisch-Partenkirchen, Germany Duration: 6 Oct 2015 → 9 Oct 2015

Other

Other	16th IFAC Workshop on Control Applications of Optimization, CAO 2015
Country	Germany
City	Garmisch-Partenkirchen
Period	6.10.15 → 9.10.15

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

Access to Document

10.1016/j.ifacol.2015.11.055

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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 2015 → 9 Oct 2015

Activity: Participating in or organising an event types › Participation 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

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 edn, vol. 48, IFAC Secretariat, pp. 34-38, 16th IFAC Workshop on Control Applications of Optimization, CAO 2015, Garmisch-Partenkirchen, Germany, 6.10.15. https://doi.org/10.1016/j.ifacol.2015.11.055

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