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https://elib.bsu.by/handle/123456789/340006| Title: | Some approximations of replicating portfolio |
| Authors: | Zuev, N. M. Lappo, P. M. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика |
| Issue Date: | 2025 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the XIV Intern. Conf., Minsk, Sept. 24–27, 2025 / Belarusian State Univ. ; eds.: Yu. Kharin (ed.-in-chief) [et al.]. – Minsk : BSU, 2025. – Pp. 295-297. |
| Abstract: | We consider (B,S)-market [1] with N risky and one riskless assets. To estimate financial derivatives we construct an approximation of replicating portfolio that minimizes an expectation of penalty function |
| URI: | https://elib.bsu.by/handle/123456789/340006 |
| ISBN: | 978-985-881-830-2 |
| Licence: | info:eu-repo/semantics/restrictedAccess |
| Appears in Collections: | 2025. Computer Data Analysis and Modeling: Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 295-297.pdf | 293,61 kB | Adobe PDF | View/Open |
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