Arbitrage-free interval of American contingent claims under proportional transaction cost

被引：1

作者：

Qingxin Meng

Bo Wang

机构：

[1] Huzhou Teachers College,Department of Mathematics

[2] Wenzhou Medical College,undefined

来源：

Journal of Control Theory and Applications | 2006年 / 4卷 / 2期

关键词：

Hedging; American contingent claim; Transaction cost;

D O I：

10.1007/s11768-006-4078-7

中图分类号：

学科分类号：

摘要：

In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims.

引用

页码：114 / 120

页数：6

共 41 条

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Qingxin MENG
Wenzhou Medical College
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