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https://elib.bsu.by/handle/123456789/14654| Title: | Derivatives Pricing in Incomplete Markets |
| Authors: | Lappo, P. Zuev, N. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика |
| Issue Date: | 2010 |
| Citation: | Lappo, P. Derivatives Pricing in Incomplete Markets [Электронный ресурс] / P. Lappo, N. Zuev. – 2010. – 10 с. – Режим доступа: http://www.actuaries.org/EVENTS/Congresses/Cape_Town/Papers/Financial%20Risks%20%28AFIR%29/60_final%20paper_Lappo,%20Zuev.pdf. – Дата доступа: 30.08.2012. |
| Abstract: | In the paper the one-period (B, S) - market model with two securities is considered. In the introduction a replicating portfolio for the derivative security is obtained when the securities are primitive. In the second part we consider the situation where the stock price could have more than two values. We build an approximation of such a market using a fictive (B, S*) - market where the stock price could take only two values. In the third part the numerical illustration of the approximation is given. |
| URI: | http://elib.bsu.by/handle/123456789/14654 |
| Appears in Collections: | Статьи факультета прикладной математики и информатики |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 60_final_Lappo,Zuev.pdf | 113,38 kB | Adobe PDF | View/Open |
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