Research of one type of exotics options with flight and onflow of capital in binomial model of financial $(B,S)$-market

N. S. Dyomin, A. V. Erlykova, E. A. Panshina

Tomsk State University, Tomsk, Russia

Abstract: The solution of the problem of optimal hedging for European exotic call and put option with limited payment and possibility of flight and onflow of capital in binomial model of financial $(B,S)$-market is based on combinatorial method. Formulas for the option value and time evolution of capital and portfolio have been obtained. Solution properties have been studies. Ill. 2, bibl. 14.

Keywords: financial market, option, capital, portfolio, hedging.

UDC: 519.865

Received: 10.12.2008
Revised: 12.10.2009

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