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

S. Rozhkova, N. Dyomin

Research output: Chapter in Book/Report/Conference proceedingConference 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 languageEnglish
Title of host publicationIFAC Proceedings Volumes (IFAC-PapersOnline)
Pages835-839
Number of pages5
Volume18
EditionPART 1
DOIs
Publication statusPublished - 2011
Event18th IFAC World Congress - Milano, Italy
Duration: 28 Aug 20112 Sep 2011

Other

Other18th IFAC World Congress
CountryItaly
CityMilano
Period28.8.112.9.11

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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