Мақаланы E-mail арқылы жіберу Extremal measures and hedging in American options
- Авторлар: Khametov V.M.1,2, Shelemekh E.A.3
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Мекемелер:
- Moscow Institute of Electronics and Mathematics
- National Research University Higher School of Economics
- Central Economics and Mathematics Institute
- Шығарылым: Том 77, № 6 (2016)
- Беттер: 1041-1059
- Бөлім: 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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Аннотация
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.
Авторлар туралы
V. Khametov
Moscow Institute of Electronics and Mathematics; National Research University Higher School of Economics
Хат алмасуға жауапты Автор.
Email: khametovvm@mail.ru
Ресей, Moscow; Moscow
E. Shelemekh
Central Economics and Mathematics Institute
Email: khametovvm@mail.ru
Ресей, Moscow
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