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Exotic European options with restrictions on the payoffs

  • Control in Social Economic Systems
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Abstract

We consider the problem of finding the values of options, portfolios (hedging strategies), and capitals for one kind of exotic European options for buying and selling in binomial and diffusion models of a (B, S) stock market.

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Authors and Affiliations

  1. Tomsk State University, Tomsk, Russia

    U. V. Andreeva, N. S. Demin, A. V. Erlykova & E. A. Pan’shina

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  1. U. V. Andreeva
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  2. N. S. Demin
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  3. A. V. Erlykova
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  4. E. A. Pan’shina
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Additional information

Original Russian Text © U.V. Andreeva, N.S. Demin, A.V. Erlykova, E.A. Pan’shina, 2010, published in Avtomatika i Telemekhanika, 2010, No. 9, pp. 136–151.

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Andreeva, U.V., Demin, N.S., Erlykova, A.V. et al. Exotic European options with restrictions on the payoffs. Autom Remote Control 71, 1864–1878 (2010). https://doi.org/10.1134/S0005117910090092

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  • DOI: https://doi.org/10.1134/S0005117910090092

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