Title :
Computation of the Pareto set under options hedging
Author :
Ereshko, F.I. ; Gasanov, I.I.
Author_Institution :
Comput. Center, Acad. of Sci., Moscow, Russia
fDate :
6/24/1905 12:00:00 AM
Abstract :
The present work unites and generalizes results of Melokumov and Karpov (2001) and Schukin (1999). We research mutual dependence of criteria determining strategy of hedging, and we construct a Pareto set by these criteria. Thus we use properties of function of the price option, formulated below in Schukin
Keywords :
investment; minimisation; probability; set theory; Pareto set; assets; future income; options; options hedging; price; probability; Costs; Marketing and sales; Portfolios; Random variables; Security; Size measurement;
Conference_Titel :
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-7278-6
DOI :
10.1109/IJCNN.2002.1007688
