Abstract
The direct approach is used to obtain formulas that determine the option price, portfolios (hedging strategies) and capitals for the European put options with guaranteed income for the option holder and limited payment for the investor at the diffusion (B,P)-bond market. The properties of the solution are studied. The results are specified for the bond pricing models known as the Ho-Lee and Vasicek models.
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More From: Journal of Computer and Systems Sciences International
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