带交易费的市场模型和未定权益套期保值

Market Model and Hedging Contingent Claims under Transaction Costs

给出了有交易费的且多种股票参与交易的市场模型,并且讨论在此市场模型下的未定权益套期保值问题,在这一模型中,假定仅债券与股票之间有交易,而不同股票之间不直接进行交易以及交易费率是常数。

In this paper, we first construct the market model in which multiple stocks and a bond are traded under transaction costs, and then discuss the problem of the contingent claim. We assume that there are tradings between stocks and bond, but there is no direct trading among the stocks, and that the proportions of the transaction costs are fixed in the market.