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Avtomatika i Telemekhanika, 2007, Issue 3, Pages 154–164 (Mi at959)  
This article is cited in 2 scientific papers (total in 2 papers)

Control in Social Economic Systems

Calculating the American options in the default model

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (219 kB) Citations (2)
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Abstract: For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 29.06.2006
English version:
Automation and Remote Control, 2007, Volume 68, Issue 3, Pages 513–522
DOI: https://doi.org/10.1134/S0005117907030113
Bibliographic databases:
Document Type: Article
PACS: 02.50.Cw, 02.50.Fz, 02.50.Le
Language: Russian
Citation: R. V. Ivanov, “Calculating the American options in the default model”, Avtomat. i Telemekh., 2007, no. 3, 154–164; Autom. Remote Control, 68:3 (2007), 513–522
Citation in format AMSBIB
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\by R.~V.~Ivanov
\paper Calculating the American options in the default model
\jour Avtomat. i Telemekh.
\yr 2007
\issue 3
\pages 154--164
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\transl
\jour Autom. Remote Control
\yr 2007
\vol 68
\issue 3
\pages 513--522
\crossref{https://doi.org/10.1134/S0005117907030113}
\elib{https://elibrary.ru/item.asp?id=13556857}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-33947609687}
Linking options:
  • https://www.mathnet.ru/eng/at959
  • https://www.mathnet.ru/eng/at/y2007/i3/p154
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :78
    References:58
    First page:1
     
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