Conference publications

Abstracts

XVI conference

European-type options in the diffusion model (B,S)-financial market on the basis on extreme value of basic asset price

Andreeva U.V., Anikina A.V.¹, Dyomin N.S., Rozhkova S.V.¹

Tomsk State University, Department of Applied Mathematics and Cybernetics, 36 Lenin ave. 634050 Tomsk, Russia, Tel: (3822)-529-599, e-mail: svrhm@rambler.ru

¹Tomsk Polytechnic University, Department of Natural Sciences and Mathematics, 30 Lenin ave. 634050 Tomsk, Russia, Tel: (3822)-563-350, e-mail: rozhkova@tpu.ru

2 pp. (accepted)

The problem under consideration is that of optimal hedging in the financial market by means of the call and put options which belongs to the options extremes class when there is a capital inflow in the form of dividends by riskfree and risk assets. There have been found formulas which determine the option price as well as the evolution of the hedging strategy (portfolio) and the capital.

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