Hedging American contingent claims with arbitrage costs

被引：1

作者：

Wang Bo ^{[1
]}

Meng Qingxin

机构：

[1] Wenzhou Med Coll, Wenzhou 325035, Peoples R China

[2] Hzhou Teachers Coll, Dept Math, Huzhou 313000, Peoples R China

来源：

CHAOS SOLITONS & FRACTALS | 2007年 / 32卷 / 02期

关键词：

D O I：

10.1016/j.chaos.2005.11.007

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In a continuous-time market model, the wealth process have an arbitrage costs. we give a representation for the upper hedging prices h(up) of American contingent claims. Furthermore, we give some example of the arbitrage costs. (c) 2005 Elsevier Ltd. All rights reserved.

引用

页码：598 / 603

页数：6

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