摘要
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.
出处
《上海大学学报(自然科学版)》
CAS
CSCD
北大核心
2006年第2期181-185,共5页
Journal of Shanghai University:Natural Science Edition
基金
国家自然科学基金资助项目(70371010)
浙江省自然科学基金资助项目(Y605478)
关键词
未定权益
定价
套利摩擦市场
Doob-Meyer分解
鞅表示定理
contingent claims
pricing
arbitrage frictional markets
Doob-Meyer decompositions
martingalerepresentation theorem