Exotic European options with restrictions on the payoffs

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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Bibliographische Detailangaben
Veröffentlicht in:	Automation and remote control 2010-09, Vol.71 (9), p.1864-1878
Hauptverfasser:	Andreeva, U. V., Demin, N. S., Erlykova, A. V., Pan’shina, E. A.
Format:	Artikel
Sprache:	eng
Schlagworte:	CAE) and Design Calculus of Variations and Optimal Control Optimization Computer-Aided Engineering (CAD Control Control in Social Economic Systems Mathematics Mathematics and Statistics Mechanical Engineering Mechatronics Robotics Systems Theory
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Beschreibung
Zusammenfassung:	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.
ISSN:	0005-1179 1608-3032
DOI:	10.1134/S0005117910090092