Discrete-time European option with two types risky security | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

HomeIssuesDiscrete-time European option with two types risky security | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

Discrete-time European option with two types risky security

In this work the value calculation of option, portfolio and capital for (B, S)-discrete market of security with two types risky assets was realised. The characteristics of portfolio in die general case were investigated and the obtained results were applied for standard European option.

Download file
Counter downloads: 217

Keywords

Authors

NameOrganizationE-mail
Dyomin Nikolay S.Tomsk State Universitysev@vmm.tsu.ru
Shishirin Mikhail Yu.Tomsk State Universityshmih@mail.ra
Всего: 2

References

Нагаев А. В К вопросу о вычислении справедливой цены опциона// Экономико-математические методы. 1998. Т. 34. № 1.С. 166-171.
Ширяев А.Н. Основы стохастической финансовой математики. Т. 1,2. М.: Фазис, 1998.
Ширяев А.Н., Кабанов Ю.М., Крамков Д.О., Мельников А.В. К теории расчетов опционов Европейского и Американского типов // Теория вероятностей и ее применения. 1994. Т. 39. Вып. 1. С. 23-79.
Discrete-time European option with two types risky security | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

Discrete-time European option with two types risky security | Vestnik Tomskogo gosudarstvennogo universiteta – Tomsk State University Journal. 2000. № 271.

Download file