686                                                    20

21 .  14.

".: Robert Geske and Kuldeep Shastri, The Early Exercise of American Puts, Journal of Banking and
Finance, 9, no. 2 (June 1985), pp. 207219   14.

23          ,  -
 .       . 
        .   
    .       
   ,         -
  .   ,     , -
    ,       
   .     ,     
    , .  : Herb Johnson and Rene Stuiz, The Pricing of Options with
Default Risk, Journal of Finance, 42, no. 2 (June 1987), pp. 267-280.

u            
 .  ,       ( -
 ),     .   
       . . : Hayne E. Leiand, Who
Should Buy Portfolio Insurance? Journal of Finance, 35, no. 2 (May 1980), pp. 581-594.

25  ,   -    .

26    . : Mark Rubinstein and Hayne E. Leiand, Replicating
Options with Positions in Stock and Cash, Financial Analysts Journal, 37, no. 4 (July/August 1981): pp. 63
72; Mark Rubinstein, Alternative Paths to Portfolio Insurance, Financial Analysts Journal, 41, (July/August
1985): pp. 42-52; Robert Ferguson, Howto Beat the S&P 500 (Without Losing Sleep), Financial Analysts
Journal, 42, no. 2 (March/April 1986): pp. 3746; and Thomas J. O'Brien, The Mechanics of Portfolio
Insurance, Journal of Portfolio Management, 14, no. 3 (Spring 1988), pp. 4047.

27            
  0% ( ,        12   -
   ).       , , 
   5% ( ,     24      -
 5%).     ,      ,
       .

28        ,   
 .

29       ,    -
       .      -
       ,  -
   .    .  : Robert R. Trippi and Richard
. Harriff, Dynamic Asset Allocation Rules: Survey and Synthesis, Journal of Portfolio Management, 17,
no. 4 (Summer 1991), pp. 19-26.

30    .  : John E. Gilster, Jr., and William Lee, The Effects of
Transactions Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note,
Journal of Finance, 39, no. 4 (September 1984), pp. 12151222; Hayne E. Leiand, Option Pricing and
Replication with Transactions Costs, Journal of Finance, 40, no. 5 (December 1985), pp. 12831301; Fischer
Black and Robert Jones, Simplifying Portfolio Insurance, Journal of Portfolio Management, 14, no. 1 (Fall

1987), pp. 48-51; and Phelim P. Boyle andTonYorst, Option Replication in Discrete Time with Transactions
Costs, Journal of Finance, 47, no. 1 (March 1992), pp. 271-293.

31 .: Mark Rubinstein, Portfolio Insurance and the Market Crash, Financial Analysts Journal, 44, no. 1
(January/February 1988), pp. 38-47.      : Andre
F. Perold and William F. Sharpe, Dynamic Strategies for Asset Allocation, Financial Analysts Journal, 44,
no. 1 (January/February 1988), pp. 1627; and Philip H. Dybvig, Inefficient Dynamic Portfolio Strategies
or How to Throw Away a Million Dollars in the Stock Market, Review of Financial Studies, 1,no. 1 (Spring

1988), pp. 67-88.

32       .  ,    
.       .  : lan Giddy, Tlie Foreign Exchange
Option as a Hedging Tool, Midland Corporate Finance Journal, 1,no. 3 (Fall 1983), pp. 3242; NisoAbauf,
Foreign Exchange Options: The Leading Hedge, Midland Corporate Finance Journal, 5, no. 2 (Summer
1987), pp. 51-58; and Mark Kritzman, About Option Replication, Financial Analysts Journal, 48, no. 1
(January/February 1992), pp. 21-23.