DocumentCode
1683609
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
Volume
2
fYear
2002
fDate
6/24/1905 12:00:00 AM
Firstpage
1334
Lastpage
1336
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location
Honolulu, HI
ISSN
1098-7576
Print_ISBN
0-7803-7278-6
Type
conf
DOI
10.1109/IJCNN.2002.1007688
Filename
1007688
Link To Document