Mathematical methods in the problem of an exotic European call option quantile hedging
The urgency of the discussed issue is caused by the need to provide mathematical tools allowing financial market agent to analyze and to forecast the economic processes. At the present time derivatives, including options, demonstrate a success of options trading to makea profit and hedg the risks as...
| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
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Tomsk Polytechnic University
2019-05-01
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| Series: | Известия Томского политехнического университета: Инжиниринг георесурсов |
| Subjects: | |
| Online Access: | http://izvestiya.tpu.ru/archive/article/view/1299 |
| Summary: | The urgency of the discussed issue is caused by the need to provide mathematical tools allowing financial market agent to analyze and to forecast the economic processes. At the present time derivatives, including options, demonstrate a success of options trading to makea profit and hedg the risks associated with risk assets.The main aim of the study: to represent options classification as secondary securities, to justify the choice for exotic options, indicating advantages; to find the optimal price, a size of the capital needed for investment and optimal hedging strategy for the option underconsideration; to formulate and to give economic interpretation of the solution properties. To test the method used for investigation having considered a limiting case.The methods used in the study: in diffusion financial market it is necessary to use stochastic methods for option pricing as stochastic model of financial mathematics.The results: the authors solved the stated problem, founded formulas for right European call option price with payment limitation and formulas defining optimal securities portfolio and capital meeting this portfolio. The limit case of transition from quantile hedging tosuperhedging is considered. The authors studied the coefficients of option price sensitivity to initial stock price and to defined strike price. |
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| ISSN: | 2500-1019 2413-1830 |