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THE CONSTRUCTION OF THE PARETO SET IN THIS MODEL, THE HEDGING ASSET OPTIONS
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THE CONSTRUCTION OF THE PARETO SET IN THIS MODEL, THE HEDGING ASSET OPTIONS
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Felix Ereshko  Igor Hasanov
Edition
Issue №1
Pages
68-75
Abstract
We consider a multi-criteria problem that arises in the sale of an asset under insurance (hedging) through future income options. For a wide class of functions describing the dependence of the option price on the strike price, an effective procedure for constructing a Pareto set for three criteria related to risk assessment using the VaR method is proposed. We analyze the features of this set and give a graphical representation of its projection on one of the coordinate planes.
Date of publication
01.01.2007
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0
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771
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Agasandyan G.A. (2001): Finansovaya inzheneriya i kriterij dopustimykh poter' VaR. M.: VTs RAN. Burenin A.N. (2002a): Rynok tsennykh bumag i proizvodnykh finansovykh instrumentov. M.: NTO im. akad. S.I. Vavilova.
 
 Burenin A.N. (20026): F'yuchersnye, forvardnye i optsionnye rynki. M.: NTO im. akademika S.I. Vavilova.
 
 Marshall Dzh.F., Bansal V.K. (1998): Finansovaya inzheneriya. M.: INFRA-M.
 
 Melokumov E.V., Karpov A.E. (2001): Prinyatie reshenij pri khedzhirovanii optsionami // Valyutnyj spekulyant. № 3 (17).
 
 Men'shikov I.S. (1998): Finansovyj analiz tsennykh bumag. Kurs lektsij. M.: Fin. i stat.
 
 Pervozvanskij A.A., Pervozvanskaya T.N. (1994): Finansovyj rynok: raschet i risk. M.: INFRA-M. Schukin D. (1999): Minimizatsiya riska portfelya pri khedzhirovanii optsionami // Rynok tsennykh bumag. № 17 (152).
 
 Marshall J.F. (1989): Futures and Option Contracting: Theory and Practice. Cincinnati, OH: South-Western.

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