Exotic put options at the diffusion bond market

The direct approach is used to obtain formulas that determine the option price, portfolios (hedging strategies) and capitals for the European put options with guaranteed income for the option holder and limited payment for the investor at the diffusion ( B,P )-bond market. The properties of the solu...

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Veröffentlicht in:	Journal of computer & systems sciences international 2010-02, Vol.49 (1), p.158-167
Hauptverfasser:	Demin, N. S., Tolstobokov, V. V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond markets Control Control in Organizational and Social-Economic Systems Diffusion bonding Engineering Hedging Markets Mechatronics Options trading Portfolio management Put & call options Robotics Securities markets Studies Zero coupon bonds
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Beschreibung
Zusammenfassung:	The direct approach is used to obtain formulas that determine the option price, portfolios (hedging strategies) and capitals for the European put options with guaranteed income for the option holder and limited payment for the investor at the diffusion ( B,P )-bond market. The properties of the solution are studied. The results are specified for the bond pricing models known as the Ho-Lee and Vasicek models.
ISSN:	1064-2307 1555-6530
DOI:	10.1134/S106423071001017X