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Квантильное Хеджирование Опционов Европейского Типа На Неполных Рынках Без Трения. Ч. 1. Суперхеджирование

Author

Listed:
  • Зверев Олег Владимирович

    (Национальный исследовательский университет Высшая школа экономики)

  • Хаметов Владимир Минирович

    (Национальный исследовательский университет Высшая школа экономики)

Abstract

Рассмотрено решение задачи расчета европейского опциона с квантильным критерием на неполном рынке с дискретным временем. Обоснована методика расчета европейского опциона с квантильным критерием относительно любой меры из класса эквивалентных. Приведен иллюстрирующий пример.The paper considers solution of the European option calculating problem with quantile criterion in incomplete market with discrete time. The method of calculating of European option with quantile criterion with respect to any measure from the class of equivalent measures is justified on the basis of S -expansion of the two payment obligations.

Suggested Citation

  • Зверев Олег Владимирович & Хаметов Владимир Минирович, 2014. "Квантильное Хеджирование Опционов Европейского Типа На Неполных Рынках Без Трения. Ч. 1. Суперхеджирование," Проблемы управления, CyberLeninka;Общество с ограниченной ответственностью "СенСиДат-Контрол", issue 6, pages 31-44.
    • Handle: RePEc:scn:009530:15682598
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