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

Division for Mathematics and Computer Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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

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ASJC Scopus subject areas

Control and Systems Engineering

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

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Access to Document

10.3182/20110828-6-IT-1002.01495