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Avtomat. i Telemekh., 2010, Issue 9, Pages 136–151 (Mi at884)  

Control in Social Economic Systems

Exotic European options with restrictions on the payoffs

U. V. Andreeva, N. S. Demin, A. V. Erlykova, E. A. Pan'shina

Tomsk State University

Abstract: We consider the problem of finding the values of options, portfolios (hedging strategies), and capitals for one kind of exotic European options for buying and selling in binomial and diffusion models of a $(B,S)$ stock market.

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English version:
Automation and Remote Control, 2010, 71:9, 1864–1878

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Presented by the member of Editorial Board: . . 

Received: 30.03.2009

Citation: U. V. Andreeva, N. S. Demin, A. V. Erlykova, E. A. Pan'shina, “Exotic European options with restrictions on the payoffs”, Avtomat. i Telemekh., 2010, no. 9, 136–151; Autom. Remote Control, 71:9 (2010), 1864–1878

Citation in format AMSBIB
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\paper Exotic European options with restrictions on the payoffs
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\issue 9
\pages 136--151
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\pages 1864--1878
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