U. V. Andreeva, N. S. Demin, A. V. Erlykova, E. A. Pan'shina, “Exotic European options with restrictions on the payoffs”, Avtomat. i Telemekh., 2010, Issue 9,Pages <nobr>136

This article is cited in 1 paper

Control in Social Economic Systems

Exotic European options with restrictions on the payoffs

U. V. Andreeva, N. S. Demin, A. V. Erlykova, E. A. Pan'shina

Tomsk State University

Abstract: We consider the problem of finding the values of options, portfolios (hedging strategies), and capitals for one kind of exotic European options for buying and selling in binomial and diffusion models of a $(B,S)$ stock market.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 30.03.2009