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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
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Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Showing 1 to 2 of 2 (0.051 seconds)Spelling suggestions: "subject:"gussian option"" "subject:"hussian option""
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Structure of hedging portfolio for American Put and Russian optionsStromilo, Alexander Unknown Date (has links)
<p>In this work we consider a problem of the</p><p>computation of the components of the hedging portfolio structure. In</p><p>literature often one can find valuations and estimations of the</p><p>fair price of American options. But the formulas for hedging portfolio</p><p>are interesting as well and are known for very particular cases</p><p>only. In our work we study different cases of American Put and Russian</p><p>options on finite and infinite horizon.</p>
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Structure of hedging portfolio for American Put and Russian optionsStromilo, Alexander Unknown Date (has links)
In this work we consider a problem of the computation of the components of the hedging portfolio structure. In literature often one can find valuations and estimations of the fair price of American options. But the formulas for hedging portfolio are interesting as well and are known for very particular cases only. In our work we study different cases of American Put and Russian options on finite and infinite horizon.
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