A European option with an arbitrary number of types of risk securities in the discrete time case
Diskretnyj analiz i issledovanie operacij, Tome 9 (2002) no. 1, pp. 3-20.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{DA_2002_9_1_a0,
     author = {N. S. Demin and M. Yu. Shishirin},
     title = {A {European} option with an arbitrary number of types of risk securities in the discrete time case},
     journal = {Diskretnyj analiz i issledovanie operacij},
     pages = {3--20},
     publisher = {mathdoc},
     volume = {9},
     number = {1},
     year = {2002},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DA_2002_9_1_a0/}
}
TY  - JOUR
AU  - N. S. Demin
AU  - M. Yu. Shishirin
TI  - A European option with an arbitrary number of types of risk securities in the discrete time case
JO  - Diskretnyj analiz i issledovanie operacij
PY  - 2002
SP  - 3
EP  - 20
VL  - 9
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/DA_2002_9_1_a0/
LA  - ru
ID  - DA_2002_9_1_a0
ER  - 
%0 Journal Article
%A N. S. Demin
%A M. Yu. Shishirin
%T A European option with an arbitrary number of types of risk securities in the discrete time case
%J Diskretnyj analiz i issledovanie operacij
%D 2002
%P 3-20
%V 9
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/DA_2002_9_1_a0/
%G ru
%F DA_2002_9_1_a0
N. S. Demin; M. Yu. Shishirin. A European option with an arbitrary number of types of risk securities in the discrete time case. Diskretnyj analiz i issledovanie operacij, Tome 9 (2002) no. 1, pp. 3-20. http://geodesic.mathdoc.fr/item/DA_2002_9_1_a0/

[1] Golembiovskii D. Yu., Dolmatov A. S., “Upravlenie portfelem proizvodnykh finansovykh instrumentov, I”, Izv. RAN. Teoriya i sistemy upravleniya, 2000, no. 4, 95–103 | MR

[2] Guberniev V. A., Kibzun A. I., “Posledovatelnoe khedzhirovanie optsionnoi pozitsii: analiz i modernizatsiya”, Avtomatika i telemekhanika, 1999, no. 1, 113–125 | MR | Zbl

[3] Nagaev A. V., “K voprosu o vychislenii spravedlivoi tseny optsiona”, Ekonomika i mat. metody, 34:1 (1998), 166–171

[4] Novikov A. A., “Khedzhirovanie optsionov s zadannoi veroyatnostyu”, Teoriya veroyatnostei i ee primeneniya, 43:1 (1998), 152–161 | MR | Zbl

[5] O'Braien D., Shrivastava S., Finansovyi analiz i torgovlya tsennymi bumagami, Delo LTD, M., 1995

[6] Rachev S. T., Rushendorf L., “Modeli i raschety kontraktov s optsionami”, Teoriya veroyatnostei i ee primeneniya, 39:1 (1994), 150–190 | MR | Zbl

[7] Shiryaev A. N., Osnovy stokhasticheskoi finansovoi matematiki, 1, 2, Fazis, M., 1998

[8] Shiryaev A. N., Kabanov Yu. M., Kramkov D. O., Melnikov A. V., “K teorii raschetov optsionov evropeiskogo i amerikanskogo tipov”, Teoriya veroyatnostei i ee primeneniya, 39:1 (1994), 23–79 | MR | Zbl

[9] Dzh. Moudera, S. Elmagrabi (red.), Issledovanie operatsii, T. 1, Mir, M., 1981

[10] Black F., Scholes M., “The pricing of options and corporate liabilities”, J. of Political Economy, 81:3 (1973), 637–657 | DOI

[11] Bollen N. P. B., “Real options and product life cycles”, Management Sci., 45:5 (1999), 670–684 | DOI

[12] Cox J. C., Ross R. A., Rubinstein M., “Option pricing: a simplified approach”, J. of Financial Economics, 7 (1976), 229–263 | DOI

[13] Jamshidian F., “Hedging quantos, differential swaps and ratios”, Applied Mathematical Finance, 1 (1994), 1–20 | DOI | Zbl

[14] Mello A. S., Neuhaus H. J., “A portfolio approach to risk reduction in discretely rebalanced option hedges”, Management Sci., 44:7 (1998), 921–934 | DOI | Zbl

[15] Merton R. C., “Theory of rational option pricing”, Bell J. Economics and Management Sci., 4 (1973), 141–183 | DOI | MR

[16] Mohamed B., “Simulation of transactions cost and optimal rehedging”, Applied Mathematical Finance, 1 (1994), 49–62 | DOI | Zbl