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

页码：629 / 638

页数：10

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