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Построение Множества Парето В Модели Хеджирования Актива Опционами

Author

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  • Гасанов И.И.
  • Ерешко Ф.И.

Abstract

Рассматривается многокритериальная задача, которая возникает в операциях продажи актива при страховании (хеджировании) посредством опционов будущих доходов. Для широкого класса функций, описывающих зависимость цены опциона от цены исполнения, предложена эффективная процедура построения множества Парето для трех критериев, связанных с оценкой риска по методу VaR. Проводится анализ особенностей данного множества и дается графическое представление его проекции на одну из координатных плоскостей.

Suggested Citation

  • Гасанов И.И. & Ерешко Ф.И., 2007. "Построение Множества Парето В Модели Хеджирования Актива Опционами," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 43(1), январь.
    • Handle: RePEc:scn:cememm:43-1-6
    Note: Москва
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