LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS  

作　　者：陈典发 冯建芬 

机构地区：[1]School of Mathematical Sciences Nankai University,Tianjin 300071,China

出　　处：《Acta Mathematica Scientia》2006年第4期629-638,共10页数学物理学报（B辑英文版）

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.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 

分 类 号：O211[理学—概率论与数理统计]