HEDGING

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How Fast Does It Diverge? Discrete Hedging Error with Transaction Costs
《Acta Mathematicae Applicatae Sinica》2021年第3期548-572,共25页Lan WU Shuo WU 
In the present paper,we focus on the diverging behavior of discrecte hedging error with transaction costs.We added the hedging cost to the error directly.The main idea is to divide the hedging error into two parts:the...
关键词：discrete hedging transaction costs hedging error diverging speed 
Cooperative Hedging in the Complete Market under g-expectation Constraint被引量：1
《Acta Mathematicae Applicatae Sinica》2011年第3期373-380,共8页Qing Zhou 
supported by the National Natural Science Foundation of China under Grants (No. 11001029, 10971220);the Fundamental Research Funds for the Central Universities (BUPT2009RC0705)
The paper studies the muiti-agent cooperative hedging problem of contingent claims in the complete market when the g-expected shortfall risks are bounded. We give the optimal cooperative hedging strategy explicitly by...
关键词：HEDGING Neyman Pearson lemma g-probability backward stochastic differential equation 
Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation
《Acta Mathematicae Applicatae Sinica》2006年第1期127-136,共10页Qing-wei Liu Yi Li Shou-yang Wang 
Supported by the National Natural Science Foundation of China(No.70221001)
In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming ...
关键词：Cost of Carry static hedging hedge ratio hedging time 
PRICING AND HEDGING OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
《Acta Mathematicae Applicatae Sinica》1999年第2期144-152,共9页王桂兰 
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 incomplet...
关键词：American contingent claim incomplete market pricing  numeraire SUPERMARTINGALE 
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