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 Options Under Transaction Costs. Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates
Наименование:

Options Under Transaction Costs. Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates

автор Alet R. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 156        мягкая обложка       
Аннотация:Efficient algorithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in ? nancial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash.
Автор: Alet R.
Издательство: Книга по Требованию
Год:2008
Цена:
2415 руб
Нет в наличии
Поиск: Options Under Transaction Costs. Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Економіко-математичне моделювання процесу ціноутворення на ринку...

Результаты могут быть также использованы при моделировании показателей финансово-экономической сферы, и в частности, для мониторинга, анализа и моделирования ценовой динамики на рынке деривативов. Ключевые слова: рынок срочных контрактов, опцион, стратегия хеджирования, модель Блэка-Шоулза, операционные издержки, программная торговля. A O A IO Silche ko M. V. Eco omic-ma hema ical modeli g of he process of price forma io i he op io marke . - Ma uscrip . he disser a io is submi ed for ca dida e of eco omic scie ces degree. Specializa io 08.03.08 - Eco omic-ma hema ical modeli g. - Kyiv a io al Eco omic U iversi y, Kyiv, 2008. he hesis co ai s he resul s of he research of price processes i he op io marke , co duc ed wi h he help of eco omic a d ma hema ical modeli g aki g i o accou he fac ors which appear u der he co di io s of programme radi g. he compara ive a alysis of he exis i g me hods for prog os ica i g he price of a op io has bee made i he work a d he classical approach o defi i g he s ruc ure of hedged por folio has bee correc ed.
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