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Безрисковый Подход Продавца Опциона Европейского Типа При Гладкой Функции Выплат

Author

Listed:
  • Нагаев А.В.
  • Нагаев С.А.

Abstract

Рассматривается опцион европейского типа с выпуклой функцией выплат. Предполагается, что скачки рисковых бумаг ограниченны сверху и снизу. Устанавливается, что в условиях неполного рынка с дискретным временем у инвестора появляется безрисковых доход. Изучаются ассимтотические свойства безрискового дохода в случае, когда модель допускае диффузионную аппроксимацию.

Suggested Citation

  • Нагаев А.В. & Нагаев С.А., 2004. "Безрисковый Подход Продавца Опциона Европейского Типа При Гладкой Функции Выплат," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 40(1), январь.
    • Handle: RePEc:scn:cememm:40-1-9
    Note: Польша, Австрия
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