Электронная библиотека (репозиторий) Томского государственного университета
Pergamenshchikov, Serguei M. | 2023

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Add   Hedging problem for Asian call options with transaction costs
Authors: Murzintseva, A. A. | Pergamenshchikov, Serguei M. | Pchelintsev, Evgeny A.
Source: Theory of probability and its applications. 2023. Vol. 68, № 2. P. 211-230
Type: статьи в журналах
Date: 2023
Description: In this paper, we develop asymptotic Asian option hedging methods for the Black--Scholes markets with transaction costs. We first construct classical replication strategies and then, using the Leland ... More
Add   Super-efficient robust estimation in Lévy continuous time regression models from discrete data
Authors: Nikiforov, Nikita I. | Pergamenshchikov, Serguei M. | Pchelintsev, Evgeny A.
Source: Вестник Томского государственного университета. Математика и механика. 2023. № 85. С. 22-31
Type: статьи в журналах
Date: 2023
Description: In this paper we consider the nonparametric estimation problem for a continuous time regression model with non-Gaussian Lévy noise of small intensity. The estimation problem is studied under the condi ... More
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