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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2011 Issue 1, Pages 33–39 (Mi pu626)

Control in the socio-economic systems

Exotic call options with limited payments and guaranteed income in Black–Scholes model

N. S. Dyomin, U. V. Andreeva

Tomsk State University

Abstract: The paper presents a solution to problems of hedging for the three types of exotic call options of European type with limited payments and guaranteed income in case of payment of dividends on the underlying asset. The formulas which determine the option prices as well as the evolution of the hedging strategies (portfolios) and capitals have been derived. Properties of the decision are considered.

Keywords: financial market, option, payment function, capital, portfolio, hedging.

UDC: 517.977



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