Volume 16, No 6, 2009, P. 23-42
N. S. Dyomin, A. V. Erlykova, E. A. Panshina
Research of one type of exotics options with flight and onflowof capital in binomial model of financial (B, S)-market
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, option, capital, portfolio, hedging.
Dyomin Nikolai Serapionovich 1
Erlykhova Alyona Vladimirovna 1
Panshina Ekaterina Aleksandrovna 1
1. Tomsk State University,
36 Lenin ave., 634050 Tomsk, Russia
e-mail: AErlykova@list.ru, PanshinaEA_87@inbox.ru