PRICING AND HEDGING OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS  

作　　者：王桂兰 

出　　处：《Acta Mathematicae Applicatae Sinica》1999年第2期144-152,共9页应用数学学报（英文版）

摘　　要：This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplete, prices can not be derived by no-arbitrage arguments,since it is not possible to replicate the payoff of a given contingent claim by a controlled portfolioof the basic securitites. We adopt the method of fictitious completion of [1] to provide an upperbound and a lower bound for the actual market price of the claim.This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplete, prices can not be derived by no-arbitrage arguments,since it is not possible to replicate the payoff of a given contingent claim by a controlled portfolioof the basic securitites. We adopt the method of fictitious completion of [1] to provide an upperbound and a lower bound for the actual market price of the claim.

关 键 词：American contingent claim incomplete market pricing  numeraire SUPERMARTINGALE 

分 类 号：F016[经济管理—政治经济学]