| 随机限制市场中不定权益的对冲成本 |
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| 引用本文： | 陈典发,冯建芬. 随机限制市场中不定权益的对冲成本[J]. 工程数学学报, 2007, 24(3): 535-538 |
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| 作者姓名： | 陈典发 冯建芬 |
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| 作者单位： | 南开大学数学学院,深圳金融工程学院,天津,300071;对外经贸大学金融学院,北京,100029 |
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| 摘 要： | 本文是2004年陈典发工作([1])的继续,我们研究随机限制市场中欧式不定权益的对冲问题,获得了它们的上对冲成本以及对冲交易策略的风险溢价表达式。
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| 关 键 词： | 不定权益 上对冲 鞅 布朗运动 |
| 文章编号： | 1005-3085(2007)03-0535-04 |
| 修稿时间： | 2004-09-06 |
Uphedging of Contingent Claims in the Constrained Market |
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| CHEN Dian-fa,FENG Jian-fen. Uphedging of Contingent Claims in the Constrained Market[J]. Chinese Journal of Engineering Mathematics, 2007, 24(3): 535-538 |
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| Authors: | CHEN Dian-fa FENG Jian-fen |
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| Affiliation: | 1. School of Mathematical Sciences, School of Shenzheng Financial Engineering, NanKai University, Tianjin 300071; 2. School of Banking and Finance, The University of International Business and Economics, Beijing 100029 |
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| Abstract: | This article continues Chen Dian-fa's work in 2004([1]),we study the hedging of contingent claims in a constrained financial market.The uphedging costs and hedging straetigies for such claims are expressed in terms of the market prices of risks in the market. |
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| Keywords: | contingent claims uphedging martingales brownian motion |
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