Position: Home > Articles > Preferred Hedging Stratagems of American Contingent Claims with Transaction Costs
Journal of Sichuan Agricultural University
2008,26
(3)
286-289
带交易费的美式未定权益有偏好的套期保值
作 者：
李小亮;刘新平
单 位：
浙江林学院;陕西师范大学数学与信息科学学院
关键词：
美式未定权益;交易费;偏好;套期保值
摘 要：
基于标的资产(股票)价格的对数正态分布,且有多种股票以恒定交易费参加交易的假设,引进了带交易费美式未定权益有偏好套期保值的概念;利用辅助鞅方法,得到在带交易费且有偏好条件下美式未定权益的套期保值和定价区间[H*2,H*1],也进一步得到了其卖方价hlow和买方价hup。
译 名：
Preferred Hedging Stratagems of American Contingent Claims with Transaction Costs
作 者：
LI Xiao-liang1,LIU Xin-ping2(1.Zhejiang Forestry University,Lin'an 311300,Zhejiang,China;2.College of Mathematics and Information Science,Shanxi Normal University,Xian 710062,China)
关键词：
american contingent claims;transaction costs;preference;hedging stratagems
摘 要：
Based on the underlying asset(stock) pricings' lognormal distribution,the assumptions of varieties of stocks with constant transaction costs and the introduction of the concept of the preferred hedging stratagems of the American contingent claims with transaction costs,the preferred hedging stratagems of the American contingent claims with transaction costs and the counterpart asset optimization[H*2,H*1] can be obtained by using the method of auxiliary martingales,furthermore its seller price hlow and the buyer price hup.
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