Exotic call options with guaranteed income and limitedpayment in the diffusion (B,P)-bond market in case of Hull-White model | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2010. № 1(10).

HomeIssuesExotic call options with guaranteed income and limitedpayment in the diffusion (B,P)-bond market in case of Hull-White model | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2010. № 1(10).

Exotic call options with guaranteed income and limitedpayment in the diffusion (B,P)-bond market in case of Hull-White model

Download file
Counter downloads: 308

Keywords

portfolio, capital, hedging, obligation, option, портфель, капитал, хеджирование, облигация, опцион

Authors

NameOrganizationE-mail
Dyomin N.S.Tomsk State University)dyomin@fpmk.tsu.ru
Tolstobokov V.V.Tomsk State University)4tvv@rambler.ru
Всего: 2

References

Rubinstein M. Exotic options // Finance Working Paper. Berkeley: Inst. of Business and Econ. Research, 1991. Nо. 220.
Zang P.G. An introduction to exotic options // European Financ. Manag. 1995. V. 1. P. 87 - 95.
Heath D., Jarrow R., Morton A. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation // Econometrica. 1992. V. 60. Nо. 1. P. 77 - 105.
Бьорк Т. О временной структуре разрывных процентных ставок // Обозрение прикладной и промышленной математики. 1995. Т. 2. Вып. 4. С. 627 - 657.
Hull J., White A. Pricing interest rate derivative securities // Review of Financial Studies. 1990. V. 3. Nо. 5. P. 573 - 592.
Hull J., White A. Bond option pricing on a model for the evolution of bond prices // Advances in Futures and Options Research. 1993. Nо. 6. P. 1 - 13.
Wilmott P. Derivatives: the theory and practice financial engineering. N.Y.: John Willey, 2000.
Мельников А.В., Волков С.Н., Нечаев М.Л. Математика финансовых обязательств. М.: ГУВШЭ, 2001.
Буренин А.Н. Фьючерсные, форвардные и опционные рынки. М.: Тривола, 1995.
Ширяев А.Н. Основы стохастической финансовой математики. М.: Фазис, 1998.
Халл Д.К. Опционы, фьючерсы и другие производные финансовые инструменты. М.: Вильямс, 2007.
Exotic call options with guaranteed income and limitedpayment in the diffusion (<i>B</i>,<i>P</i>)-bond market in case of Hull-White model | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2010. № 1(10).

Exotic call options with guaranteed income and limitedpayment in the diffusion (B,P)-bond market in case of Hull-White model | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2010. № 1(10).

Download file