LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

doi:10.1016/S0252-9602(06)60089-1

数学物理学报(英文版)

LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

陈典发; 冯建芬

南开大学数学学院, 天津 300071

收稿日期:2004-06-14 修回日期:2005-04-28 出版日期:2006-10-20 发布日期:2006-10-20
通讯作者: 陈典发

LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

Chen Dianfa; Feng Jianfen

School of Mathematical Sciences, Nankai University, Tianjin 300071, China

Received:2004-06-14 Revised:2005-04-28 Online:2006-10-20 Published:2006-10-20
Contact: Chen Dianfa

摘要/Abstract

摘要：

This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.

关键词: Portfolios, risk premium, martingale, set-valued processes

Abstract:

This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.

Key words: Portfolios, risk premium, martingale, set-valued processes

中图分类号:

60H30

陈典发; 冯建芬. LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS[J]. 数学物理学报(英文版), 2006, 26(4): 629-638.

Chen Dianfa; Feng Jianfen. LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS[J]. Acta mathematica scientia,Series B, 2006, 26(4): 629-638.

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LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

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