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Propabilistic Analysis for European Exotic Option on Stock Market Index Research

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Information Technologies and Mathematical Modelling - Queueing Theory and Applications (ITMM 2015)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 564))

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Abstract

European exotic put option with payment limitation for issuer and guaranteed income for holder of the security is researched when base risk active is share index. The equitable option price, the securities portfolio structure and a size of the capital answered the hedging strategy are founded for the option under consideration on diffusion (B, S)-financial market. Comparative price analysis for two option classes is carried out and specific properties of decision and decision under limiting are explored.

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Acknowledgments

All comments and suggestions by critical readers and editorial assistance are acknowledged with gratitude.

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Authors and Affiliations

  1. Department of Applied Mathematics and Cybernetics, Tomsk State University, Lenina Ave. 36, 634050, Tomsk, Russia

    Elena Daniliuk

Authors
  1. Elena Daniliuk
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Correspondence to Elena Daniliuk .

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Editors and Affiliations

  1. Applied Mathematics and Computer Science, Belarusian State University, Minsk, Russia

    Alexander Dudin

  2. Tomsk State University, Tomsk, Russia

    Anatoly Nazarov

  3. Kemerovo State University, Anzhero-Sudzhensk, Russia

    Rafael Yakupov

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Daniliuk, E. (2015). Propabilistic Analysis for European Exotic Option on Stock Market Index Research. In: Dudin, A., Nazarov, A., Yakupov, R. (eds) Information Technologies and Mathematical Modelling - Queueing Theory and Applications. ITMM 2015. Communications in Computer and Information Science, vol 564. Springer, Cham. https://doi.org/10.1007/978-3-319-25861-4_26

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  • DOI: https://doi.org/10.1007/978-3-319-25861-4_26

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-25860-7

  • Online ISBN: 978-3-319-25861-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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