高借款利率下投资策略受限制的美式未定权益的套期保值(英文)  

Hedging American Contingent Claims under Constraints and a Higher Interest Rate for Borrowing

作　　者：孟庆欣[1] 王波[1] 

机构地区：[1]复旦大学数学研究所

出　　处：《复旦学报（自然科学版）》2004年第3期336-343,共8页Journal of Fudan University：Natural Science

基　　金：ProjectsupportedbyNationalNaturalScienceFoundationofChina (1 0 0 71 0 1 4 ;70 371 0 1 0 )

摘　　要：在高借款利率、投资策略受限制的情况下研究美式未定权益的套期保值问题 .在上述限制下通过引入无限制的辅助金融市场对美式未定权益的上套期保值价格进行了表征 。The hedging problem of American contingent claims is studied.The novel feature is that the portfolio is allowed with constraints and a higher interest rate for borrowing.The setting is that of a continuous-time It process model for the underlying assets. Under the above-constraints the upper hedging price of American contingent claims is characterized by introducing auxiliary unconstrained financial markets, which reflect the above-constraints.In addition,the example of American call-option under some conditions is dealed with.

关 键 词：高借款利率 投资策略 未定权益 套期保值 限制市场 

分 类 号：F830.5[经济管理—金融学] F224.7