Abstract
The 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.
| Original language | English |
|---|---|
| Title of host publication | IFAC Proceedings Volumes (IFAC-PapersOnline) |
| Pages | 835-839 |
| Number of pages | 5 |
| Volume | 18 |
| Edition | PART 1 |
| DOIs | |
| Publication status | Published - 2011 |
| Event | 18th IFAC World Congress - Milano, Italy Duration: 28 Aug 2011 → 2 Sep 2011 |
Other
| Other | 18th IFAC World Congress |
|---|---|
| Country | Italy |
| City | Milano |
| Period | 28.8.11 → 2.9.11 |
ASJC Scopus subject areas
- Control and Systems Engineering
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Cite this
Rozhkova, S., & Dyomin, N. (2011). Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market. In IFAC Proceedings Volumes (IFAC-PapersOnline) (PART 1 ed., Vol. 18, pp. 835-839) https://doi.org/10.3182/20110828-6-IT-1002.01495