Geodesic
Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market
Diskretnyj analiz i issledovanie operacij, Tome 16 (2009) no. 6, pp. 23-42.

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

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, portfolio, hedging.
Mots-clés : option, capital 
@article{DA_2009_16_6_a2,
     author = {N. S. Dyomin and A. V. Erlykova and E. A. Panshina},
     title = {Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market},
     journal = {Diskretnyj analiz i issledovanie operacij},
     pages = {23--42},
     publisher = {mathdoc},
     volume = {16},
     number = {6},
     year = {2009},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DA_2009_16_6_a2/}
}
TY  - JOUR
AU  - N. S. Dyomin
AU  - A. V. Erlykova
AU  - E. A. Panshina
TI  - Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market
JO  - Diskretnyj analiz i issledovanie operacij
PY  - 2009
SP  - 23
EP  - 42
VL  - 16
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/DA_2009_16_6_a2/
LA  - ru
ID  - DA_2009_16_6_a2
ER  - 
%0 Journal Article
%A N. S. Dyomin
%A A. V. Erlykova
%A E. A. Panshina
%T Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market
%J Diskretnyj analiz i issledovanie operacij
%D 2009
%P 23-42
%V 16
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/item/DA_2009_16_6_a2/
%G ru
%F DA_2009_16_6_a2
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. Diskretnyj analiz i issledovanie operacij, Tome 16 (2009) no. 6, pp. 23-42. http://geodesic.mathdoc.fr/item/DA_2009_16_6_a2/

[1] Dëmin N. S., Shishirin M. Yu., “Evropeiskii optsion s proizvolnym chislom riskovykh tsennykh bumag v sluchae diskretnogo vremeni”, Diskret. analiz i issled. operatsii. Ser. 2, 9:1 (2002), 3–20 | MR

[2] Inglis-Teilor E., Proizvodnye finansovye instrumenty, INFRA-M., M., 2001, 224 pp.

[3] Kozhin K., “Vse ob ekzoticheskikh optsionakh”, Rynok tsennykh bumag, 2002, no. 15, 53–57; no. 16, 60–64; no. 17, 68–73

[4] Melnikov A. V., Nechaev M. L., “K voprosu o khedzhirovanii platezhnykh obyazatelstv v srednekvadraticheskom”, Teoriya veroyatnostei i ee primeneniya, 43:4 (1998), 672–691 | MR | Zbl

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

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

[7] Khall D. K., Optsiony, fyuchersy i drugie proizvodnye finansovye instrumenty, Vilyams, M., 2007, 1051 pp.

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

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

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

[11] Follmer H., Leukert P., “Quantile hedging”, Finance and Stochastic, 3:3 (1999), 251–273 | DOI | MR

[12] Laurent J. P., Pham H., “Dynamic programming and mean-variance hedging”, Finance and Stochastic, 3:1 (1999), 83–110 | DOI | MR | Zbl

[13] Rubinstein M., Exotic option, Finance working paper, Inst. of Business and Econ. Research, Berkeley, 1991, 43 pp.

[14] Zhang P. G., “An introduction to exotic option”, European Financial Management, 1:1 (1995), 87–95 | DOI