高借款利率下有交易费的欧式未定权益的套期保值

Hedging European Contingent Claims at Higher Interest Rate for Borrowing with Transaction Costs

研究了在借款利率大于存款利率的条件下,投资者拥有或借入风险资产需交纳比例费用的摩擦金融市场中的欧式未定权益套期保值问题.通过引入反映上述金融市场摩擦的辅助无摩擦金融市场类,给出了上套期保值价格的表达式,并证明了最优上套期保值策略的存在性.用类似的方法可以得到下套期保值价格的表达式,进而得到欧式未定权益的无套利价格区间.

This has frictions in interest rate for family of is shown paper studies the problem of hedging European Contingent Claims （ECCs） in the market that the form of percentage management costs for homing or borrowing risk assets and a higher borrowing than for lending. The upper-hedging price of an ECC is obtained by introducing a auxiliary frictionless financial markets Existence of an optimal portfolio for hedging .contingent claims A similar method can be used to get a lower-hedging price and then an arbitrage-free interval.