УЧЕТ НЕДОСТАТОЧНОЙ ЛИКВИДНОСТИ И ТРАНЗАКЦИОННЫХ ИЗДЕРЖЕК ПРИ ДЕЛЬТА-ХЕДЖИРОВАНИИ

Авторы

Ключевые слова:

хеджирование, ликвидность, транзакционные издержки, книга лимитных ордеров, нелинейные уравнения типа Блэка - Шоулса, численное решение

Аннотация

Статья посвящена исследованию оптимального временного интервала хеджирования при недостаточной ликвидности и наличии транзакционных издержек. Получены нелинейные уравнения типа Блэка – Шоулса для случая, когда функция затрат неликвидности является линейной и квадратичной. Для определения транзакционных издержек используется модель методологии ценообразования с поправкой на риск (risk-adjusted pricing methodology (RAPM) model). Практическое применение продемонстрировано для опционной комбинации «long butterfly».

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Просмотров аннотации: 95

Опубликован

2021-06-29

Как цитировать

Дышаев, М. М., & Федоров, В. Е. (2021). УЧЕТ НЕДОСТАТОЧНОЙ ЛИКВИДНОСТИ И ТРАНЗАКЦИОННЫХ ИЗДЕРЖЕК ПРИ ДЕЛЬТА-ХЕДЖИРОВАНИИ. Прикладная математика & Физика, 53(2), 132–143. извлечено от http://maths-physics-journal.ru/index.php/journal/article/view/60

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Раздел

Физика. Математическое моделирование