Lower hedging of contingent claims in randomly constrained markets

被引：0
|
作者：
Chen Dianfa [1 ]
Feng Jianfen [1 ]
机构：
[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2006年 / 26卷 / 04期
关键词：
portfolios; risk premium; martingale; set-valued processes;
D O I：
10.1016/S0252-9602(06)60089-1
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
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.
引用
收藏
页码：629 / 638
页数：10
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