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
收藏
页码：598 / 603
页数：6
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