Option pricing under residual risk and imperfect hedging

被引：2
|
作者：
Wang, Xiao-Tian [1 ]
Liang, Xiang-Qian [2 ]
Zhou, Ze-Min [3 ]
机构：
[1] S China Univ Technol, Dept Math, Guangzhou 510640, Guangdong, Peoples R China
[2] Shandong Univ Sci & Technol, Coll Informat Sci & Engn, Qingdao 266590, Shandong, Peoples R China
[3] Renmin Univ China, Coll Informat, Beijing 100872, Peoples R China
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2014年 / 415卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Residual risk; Scaling; Option pricing; Imperfect hedging; Asymptotic approach; REPLICATION;
D O I：
10.1016/j.jmaa.2014.01.060
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is concerned in the option pricing in a discrete time incomplete market. We emphasize the interplay between option pricing and residual risk as well as imperfect hedging. It has been shown that the value of a European option satisfies a hyperbolic, rather than parabolic, partial differential equation. The closed-form solution for this hyperbolic equation has been obtained, which will collapse to the Black-Scholes formula as the time scaling converges to zero. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：269 / 293
页数：25
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