N. S. Dyomin, U. V. Andreeva, “Exotic call options with limited payments and guaranteed income in Black–Scholes model”, Probl. Upr., 2011, no. 1, 33

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Problemy Upravleniya, 2011, Issue 1, Pages 33–39 (Mi pu626)

Control in the socio-economic systems

Exotic call options with limited payments and guaranteed income in Black–Scholes model

N. S. Dyomin, U. V. Andreeva

Tomsk State University

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Abstract: The paper presents a solution to problems of hedging for the three types of exotic call options of European type with limited payments and guaranteed income in case of payment of dividends on the underlying asset. The formulas which determine the option prices as well as the evolution of the hedging strategies (portfolios) and capitals have been derived. Properties of the decision are considered.

Keywords: financial market, option, payment function, capital, portfolio, hedging.

Document Type: Article

UDC: 517.977

Language: Russian

Citation: N. S. Dyomin, U. V. Andreeva, “Exotic call options with limited payments and guaranteed income in Black–Scholes model”, Probl. Upr., 2011, no. 1, 33–39

Citation in format AMSBIB

\Bibitem{DemAnd11}

\by N.~S.~Dyomin, U.~V.~Andreeva

\paper Exotic call options with limited payments and guaranteed income in Black--Scholes model

\jour Probl. Upr.

\yr 2011

\issue 1

\pages 33--39

\mathnet{http://mi.mathnet.ru/pu626}

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https://www.mathnet.ru/eng/pu626

https://www.mathnet.ru/eng/pu/v1/p33

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

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Abstract page:	220
Full-text PDF :	79
References:	36
First page:	2

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