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RESULTS OF RESEARCH AND THE POSITIONS BORN ON PROTECTION


The basic theoretical result of the given dissertational research is working out of toolkit and methods of construction/optimization of difficult optional products on the Russian equity market [52] on the basis of exchange and vnebirzhevyh options with allowance for a bias volatilnosti and uniform bezriskovoj rates.

As a result of the carried out research the following positions born on protection have been received:
Toolkits and methods which allow to receive difficult optional products on equity market, satisfying to the purposes of the client are developed by optimum image;
For management of a portfolio of usual options the approach of construction of optional products based on a finding of a portfolio of exchange options [53] (from all set of possible portfolios) with the shares of separate options found in result of the decision of a problem of linear optimisation of final monetary payments with restrictions on cost and set structure of the maximum losses is possible and productive;
The method of improvement of characteristics of optional products for increase in the maximum final monetary payments and monetization size (cost reduction) products at the expense of replacement of exchange options in a portfolio on vnebirzhevye options is developed and practically realised;
The offered toolkit and methods allow to use effectively issue possibility vnebirzhevyh options (when it is available) with allowance for dependences internal volatilnosti from a strike of manufactured options (effect of a bias volatilnosti) for optimisation of optional products.
It is possible to carry working out of family of new optional products to practical results of research: structured kollary, the "pyramidal" butterfly, the structured butterflies structured streddly, structured strengl represent diversifitsirovannye portfolios exchange or mixed (exchange and vnebirzhevyh) options for the future of the Russian Open Society "United Power Systems" which shares are by the decision of a problem of linear optimisation.
The further researches on these subjects are expedient for conducting in following directions:
Construction of the difficult structured optional products on the basis of exchange, vnebirzhevyh options with unlimited quantity of strikes;
Use of the developed methods of optimisation for improvement of various characteristics of optional strategy and products;
Application of the offered toolkit and methods of construction of difficult optional products on the basis of a portfolio of exotic and usual/exotic options;
Hedging of various kinds of options (including exotic) by means of the developed methodology of construction of difficult optional products;
Researches in the field of adaptation of the developed toolkit and methods by working out derivativov and structural products on various assets.


THE APPENDIX 1:VBAКОД FOR THE ESTIMATION OF OPTIONS UNDER FORMULA BLEKA-SHOULSA
Function BSCallValue (M, S, R, T, V)
Dim ert, eqt
Dim D One, D Two, ND One, ND Two
ert = Exp (-R*T)
D One = (Log (M/S) (R + 0.5*V ^2) *T) / (V *Sqr (T))
D Two = (Log (M/S) + (R-0.5 * V^2) *T) / (V*Sqr (T))
ND One=Application. Norm S Dist (D One)
ND Two=Application. Norm S Dist (D Two)
BSCallValue = (M*eqt*ND One-S *ert*ND Two) EndFunction.
Function BSPutValue (M, S, R, T, V)
Dim ert, eqt
Dim D One, D Two, ND One, ND Two
ert = Exp (-R*T)
D One = (Log (M/S) + (R+0.5*V ^2) *T) / (V* Sqr (T))
D Two = (Log (M/S) + (R-0.5*V^2) *T) / (V* Sqr (T))
ND One=Application. NormS Dist (-D One)
ND Two=Application. Norm S Dist (-D Two)
BSPutValue = (-M*eqt*NDOne+S*ert*ND Two)
End Function.


THE APPENDIX 2:VBAКОД FINDINGS INTERNAL VOLATILNOSTI NEWTON-RAFSONA METHOD

Function Newton Raphson Collector Vol (Call Put Flag As String, M As Double, _
S As Double, T As Double, R As Double, CM As Double) As Double
Dim vi As Double, ci As Double
Dim Vegai As Double, epsilon As Double
Dim counter As Integer, z As Integer
z = 1
If Call Put Flag = \"p \" Then z = - 1
vi = z * (Abs (Log (M / S) + R * T) * 2 / T) ^ 0.5
ci = z * Black Scholes (M, S, T, R, vi)
Vegai = z * Black Scholes Vega (M, S, T, R, vi)
epsilon = 0.000000000001
counter = 0
While Abs (CM - ci) gt; epsilon
counter = counter + 1
If counter gt; 30 Then
Exit Function
End If
vi = vi - (ci - CM) / Vegai
ci = z * Black Scholes (M, S, T, R, vi)
Vegai = z * Black Scholes Vega (M, S, T, R, vi)
Wend
Newton Raphson Collector Vol = z * vi
End Function
Public Function BlackScholesVega (M, S, T, R, v)
Dim d1 As Double
d1 = (Log (M / S) + (R + v ^ 2 / 2) * T) / (v * Sqr (T))
Black Scholes Vega = Exp (-d1 ^ 2 / 2) * M * Sqr (T) / Sqr (2 * Application. Pi))
End Function
Public Function Black Scholes (M, S, T, R, v)
Dim d1 As Double
d1 = (Log (M / S) + (R + v ^ 2 / 2) * T) / (v * Sqr (T))
Black Scholes = M * Application. Norm S Dist (d1) - S * Exp (-R * T) * Application. NormSDist (d1 - v * Sqr (T))
EndFunction
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A source: Pitchugin Igor Sergeevich. STRUCTURIZATION of OPTIONAL PRODUCTS ON THE BASIS OF the METHOD of OPTIMIZATION of FINAL MONETARY PAYMENTS. The dissertation on competition of a scientific degree of a Cand.Econ.Sci. Moscow - 2007. 2007

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  2. On protection following positions are born:
  3. the positions born on protection.
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  5. dissertation Positions born on protection
  6. the substantive provisions of dissertational research born on protection:
  7. the Substantive provisions born on protection:
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  9. On protection following new or containing novelty aspects results of research
  10. the Positions which are taken out on protection.