有交易费的套期保值未定权益的最小债券价值量

The Minimal Bond Asset of Hedging of Contingent Claims under Transaction Costs

讨论带交易费的多种股票的市场模型中未定权益的套期保值定价问题,提出折算函数作为总资产的一种较为合理的衡量方式,并来刻画套期保值策略,从而,利用鞅方法和折算函数的性质,得到带交易费套期保值未定权益的最小债券价值量结果。

This paper deals with the pricing of the contingent claims under transaction costs. Based on the discount function and martingale approach, a reason able measure of the total asset and the hedging strategies is given, then the minimal bond asset of contingent claims is provided in the paper.