Activities per year
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 |
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Title of host publication | IFAC Proceedings Volumes (IFAC-PapersOnline) |
Publisher | IFAC Secretariat |
Pages | 34-38 |
Number of pages | 5 |
Volume | 48 |
Edition | 25 |
DOIs | |
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 |
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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
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Activities
- 1 Participation in workshop, seminar, course
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16th IFAC Workshop on Control Applications of Optimization, CAO 2015
Svetlana Vladimirovna Rozhkova (Participant)
6 Oct 2015 → 9 Oct 2015Activity: Participating in or organising an event types › Participation in workshop, seminar, course