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 | |
| 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 |
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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
Cite this
Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. / Daniliuk, E.; Rozhkova, S.
IFAC Proceedings Volumes (IFAC-PapersOnline). Vol. 48 25. ed. IFAC Secretariat, 2015. p. 34-38.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active
AU - Daniliuk, E.
AU - Rozhkova, S.
PY - 2015/10/1
Y1 - 2015/10/1
N2 - 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.
AB - 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.
KW - Barrier European put option
KW - Dividends
KW - Financial market
KW - Hedging strategy
KW - Option price
KW - Put option with guaranteed income for holder of the security
KW - Stochastic financial mathematics
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UR - http://www.scopus.com/inward/citedby.url?scp=84957944344&partnerID=8YFLogxK
U2 - 10.1016/j.ifacol.2015.11.055
DO - 10.1016/j.ifacol.2015.11.055
M3 - Conference contribution
VL - 48
SP - 34
EP - 38
BT - IFAC Proceedings Volumes (IFAC-PapersOnline)
PB - IFAC Secretariat
ER -