Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market — National Research Tomsk Polytechnic University

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	https://doi.org/10.3182/20110828-6-IT-1002.01495
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

Access to Document

10.3182/20110828-6-IT-1002.01495

Fingerprint Dive into the research topics of 'Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market'. Together they form a unique fingerprint.

Cite this

@inproceedings{488414eb6f304aed88dc6c22bb9f89ad,

title = "Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market",

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.",

author = "S. Rozhkova and N. Dyomin",

year = "2011",

doi = "10.3182/20110828-6-IT-1002.01495",

language = "English",

isbn = "9783902661937",

volume = "18",

pages = "835--839",

booktitle = "IFAC Proceedings Volumes (IFAC-PapersOnline)",

edition = "PART 1",

note = "18th IFAC World Congress ; Conference date: 28-08-2011 Through 02-09-2011",

}

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)

T2 - 18th IFAC World Congress

Y2 - 28 August 2011 through 2 September 2011

ER -

Research of fixed strike lookback put option on extremes in diffusion model (B,S) - Financial market

Abstract

Other

ASJC Scopus subject areas

Access to Document

Other files and links

Cite this