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 |
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ASJC Scopus subject areas
- Control and Systems Engineering
Cite this
Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market. / Rozhkova, S.; Dyomin, N.
IFAC Proceedings Volumes (IFAC-PapersOnline). Vol. 18 PART 1. ed. 2011. p. 835-839.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market
AU - Rozhkova, S.
AU - Dyomin, N.
PY - 2011
Y1 - 2011
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84866761718&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84866761718&partnerID=8YFLogxK
U2 - 10.3182/20110828-6-IT-1002.01495
DO - 10.3182/20110828-6-IT-1002.01495
M3 - Conference contribution
AN - SCOPUS:84866761718
SN - 9783902661937
VL - 18
SP - 835
EP - 839
BT - IFAC Proceedings Volumes (IFAC-PapersOnline)
ER -