книги Наука, техника, медицина Естественные науки Точные науки Математика Научные издания Теория вероятностей

Options Under Transaction Costs. Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates

Код 920142

Нет в продаже

Аннотация к книге "Options Under Transaction Costs. Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates"

This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in ?nancial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows...

Оставить комментарий

Оцените книгу:

Издательство: Книга по требованию
Дата выхода: июль 2011
ISBN: 978-3-8364-9239-3
Объём: 156 страниц
Масса: 258 г
Размеры(высота, ширина, толщина), см: 23 x 16 x 1

Вместе с этой книгой покупают