Arbitrage-free interval of American contingent claims under proportional transaction cost  

作　　者：Qingxin MENG Bo WANG 

机构地区：[1]Department of Mathematics, Huzhou Teachers College, Huzhou Zhejiang 313000,China [2]Wenzhou Medical College, Wenzhou Zhejiang 325035,China

出　　处：《控制理论与应用（英文版）》2006年第2期114-120,共7页

基　　金：This work was supported in part by the National Science Foundation of China(No.101310310) the National Distinguished Youth Science Foundation of China(No.10325101) the Chinese Education Ministry Science Foundation(No.20030246004) the Natural Science Foundation of Zhejiang Province(No.Y605478).

摘　　要：In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims.In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims.

关 键 词：HEDGING American contingent claim Transaction cost 

分 类 号：O211.6[理学—概率论与数理统计]