电邮这篇文章 Extremal measures and hedging in American options
- 作者: Khametov V.M.1,2, Shelemekh E.A.3
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隶属关系:
- Moscow Institute of Electronics and Mathematics
- National Research University Higher School of Economics
- Central Economics and Mathematics Institute
- 期: 卷 77, 编号 6 (2016)
- 页面: 1041-1059
- 栏目: Control in Social Economic Systems, Medicine, and Biology
- URL: https://journals.rcsi.science/0005-1179/article/view/150362
- DOI: https://doi.org/10.1134/S0005117916060084
- ID: 150362
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详细
We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete “frictionless” markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm.
作者简介
V. Khametov
Moscow Institute of Electronics and Mathematics; National Research University Higher School of Economics
编辑信件的主要联系方式.
Email: khametovvm@mail.ru
俄罗斯联邦, Moscow; Moscow
E. Shelemekh
Central Economics and Mathematics Institute
Email: khametovvm@mail.ru
俄罗斯联邦, Moscow
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