数学物理学报(英文版)

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LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

陈典发; 冯建芬   

  1. 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   

  1. 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:

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