Diskretnyi Analiz i Issledovanie Operatsii
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Diskretn. Anal. Issled. Oper.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Diskretnyi Analiz i Issledovanie Operatsii, 2009, Volume 16, Issue 6, Pages 23–42 (Mi da592)  
Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market

N. S. Dyomin, A. V. Erlykova, E. A. Panshina

Tomsk State University, Tomsk, Russia
Full-text PDF (308 kB)
References:
PDF
HTML
Abstract: The solution of the problem of optimal hedging for European exotic call and put option with limited payment and possibility of flight and onflow of capital in binomial model of financial $(B,S)$-market is based on combinatorial method. Formulas for the option value and time evolution of capital and portfolio have been obtained. Solution properties have been studies. Ill. 2, bibl. 14.
Keywords: financial market, option, capital, portfolio, hedging.
Received: 10.12.2008
Revised: 12.10.2009
Bibliographic databases:
UDC: 519.865
Language: Russian
Citation: N. S. Dyomin, A. V. Erlykova, E. A. Panshina, “Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market”, Diskretn. Anal. Issled. Oper., 16:6 (2009), 23–42
Citation in format AMSBIB
\Bibitem{DemErlPan09}
\by N.~S.~Dyomin, A.~V.~Erlykova, E.~A.~Panshina
\paper Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market
\jour Diskretn. Anal. Issled. Oper.
\yr 2009
\vol 16
\issue 6
\pages 23--42
\mathnet{http://mi.mathnet.ru/da592}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2649140}
\zmath{https://zbmath.org/?q=an:1249.91129}
Linking options:
  • https://www.mathnet.ru/eng/da592
  • https://www.mathnet.ru/eng/da/v16/i6/p23
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Дискретный анализ и исследование операций
    Statistics & downloads:
    Abstract page:275
    Full-text PDF :110
    References:51
    First page:5
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024