Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active

E. Daniliuk, S. Rozhkova

Результат исследований: Материалы для книги/типы отчетовМатериалы для конференции

Выдержка

Barrier European put option formed by additional clause putting in option contract with payment limitation for issuer and guaranteed income for holder of the security are researched when dividends on base risk active are paid. The equitable price, the optimal portfolio and a size of the capital answered the hedging strategy are founded for the options under consideration on diffusion (B, S)- financial market. Comparative price analysis for two option classes is carried out and specific properties of decision and decision under limiting are explored.

Язык оригиналаАнглийский
Название основной публикацииIFAC Proceedings Volumes (IFAC-PapersOnline)
ИздательIFAC Secretariat
Страницы34-38
Число страниц5
Том48
Издание25
DOI
СостояниеОпубликовано - 1 окт 2015
Событие16th IFAC Workshop on Control Applications of Optimization, CAO 2015 - Garmisch-Partenkirchen, Германия
Продолжительность: 6 окт 20159 окт 2015

Другое

Другое16th IFAC Workshop on Control Applications of Optimization, CAO 2015
СтранаГермания
ГородGarmisch-Partenkirchen
Период6.10.159.10.15

Отпечаток

Financial markets

ASJC Scopus subject areas

  • Control and Systems Engineering

Цитировать

Daniliuk, E., & Rozhkova, S. (2015). Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. В IFAC Proceedings Volumes (IFAC-PapersOnline) (25 ред., Том 48, стр. 34-38). IFAC Secretariat. https://doi.org/10.1016/j.ifacol.2015.11.055

Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. / Daniliuk, E.; Rozhkova, S.

IFAC Proceedings Volumes (IFAC-PapersOnline). Том 48 25. ред. IFAC Secretariat, 2015. стр. 34-38.

Результат исследований: Материалы для книги/типы отчетовМатериалы для конференции

Daniliuk, E & Rozhkova, S 2015, Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. в IFAC Proceedings Volumes (IFAC-PapersOnline). 25 ред., том. 48, IFAC Secretariat, стр. 34-38, 16th IFAC Workshop on Control Applications of Optimization, CAO 2015, Garmisch-Partenkirchen, Германия, 6.10.15. https://doi.org/10.1016/j.ifacol.2015.11.055
Daniliuk E, Rozhkova S. Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. В IFAC Proceedings Volumes (IFAC-PapersOnline). 25 ред. Том 48. IFAC Secretariat. 2015. стр. 34-38 https://doi.org/10.1016/j.ifacol.2015.11.055
Daniliuk, E. ; Rozhkova, S. / Hedging of the barrier put option in a diffusion (B, S) - Market in case of dividends payment on a risk active. IFAC Proceedings Volumes (IFAC-PapersOnline). Том 48 25. ред. IFAC Secretariat, 2015. стр. 34-38
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