Probl. Upr., 2011, Issue 1, Pages 33–39
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
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.
financial market, option, payment function, capital, portfolio, hedging.
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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
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\by N.~S.~Dyomin, U.~V.~Andreeva
\paper Exotic call options with limited payments and guaranteed income in Black--Scholes model
\jour Probl. Upr.
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