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Diskretn. Anal. Issled. Oper., 2009, Volume 16, Number 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

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.

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Bibliographic databases:

UDC: 519.865
Received: 10.12.2008
Revised: 12.10.2009

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://www.ams.org/mathscinet-getitem?mr=2649140}
\zmath{https://zbmath.org/?q=an:1249.91129}


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