THE CALCULATION OF COMPONENTS OF HEDGING PORTFOLIO FOR PAYMENT OBLIGATIONS FIXED AT FINAL TIME MOMENT OF FINANCIAL MARKET WITH INFINITE NUMBER OF STATES

Author(s): Shamraeva Victoria Viktorovna

Rubric: Management

Release: 2014-1 (7)

Pages: 40-45

Keywords: Financial market, martingale measure, the weakened property of the universal Haar uniqueness, self-financing portfolios, capital of portfolio, contingent claim

Annotation: Finding the self-financing portfolio replicating some payment obligation f is one of important directions of financial market research. The method of the calculation of components of hedg-ing portfolio for several kinds of payment obligations for the model of financial market with infinite number of states is presented in the article

Bibliography: Shamraeva VI.VI. THE CALCULATION OF COMPONENTS OF HEDGING PORTFOLIO FOR PAYMENT OBLIGATIONS FIXED AT FINAL TIME MOMENT OF FINANCIAL MARKET WITH INFINITE NUMBER OF STATES // Economics and Management. – 2014. – № 1 (7). – С. 40-45. doi: