| 带交易费有偏好套期保值的未定权益定价与资产优化性质 |
| |
| 引用本文： | 许世蒙,张玉忠. 带交易费有偏好套期保值的未定权益定价与资产优化性质[J]. 黑龙江大学自然科学学报, 2003, 20(2): 41-44 |
| |
| 作者姓名： | 许世蒙 张玉忠 |
| |
| 作者单位： | 1. 装甲兵工程学院,数学室,北京,100072
2. 曲阜师范大学,运筹所,山东,曲阜,273165 |
| |
| 基金项目： | 国家自然科学基金(10171054)，山东省自然科学基金(Q98A06114) |
| |
| 摘 要： | 对给出的有交易费的正常化市场资产模型,利用辅助鞅和资产折算函数方法,讨论了该市场模型下有偏好套期保值的期权定价及定价区间,由此还进一步讨论相应的资产优化性质。其中,引进偏好系数来讨论未定权益定价,使得所给出的定价形式具有一定的柔性。即未定权益中分量赋予不同的侧重,以及在一定的优化或环境约束情形下,可适当地调整未定权益定价,比单纯的套期保值有一定的优势。
|
| 关 键 词： | 交易费 有偏好 资产折算 未定权益 |
| 文章编号： | 1001-7011(2003)02-0041-04 |
| 修稿时间： | 2002-08-20 |
Preferred hedging pricing of contingent clasims and asset optimization under transaction costs |
| |
| XU Shi-meng,ZHANG Yu-zhong. Preferred hedging pricing of contingent clasims and asset optimization under transaction costs[J]. Journal of Natural Science of Heilongjiang University, 2003, 20(2): 41-44 |
| |
| Authors: | XU Shi-meng ZHANG Yu-zhong |
| |
| Abstract: | The asset model of the normalized market under transaction costs is given, and the methods of auxiliary martingales and the discount asset function are used to discuss the preferred hedging pricing of the contingent claims and the counterpart asset optimization. Some flexibilities of the hedging pricing of the contingent clasims given are due to the preferred coefficients introduced. Therefore, the pricing of the contigent claims may be properly modified under the variable emphases and some optimal or constrained conditons, and the pricing is naturally better than general hedging pricing |
| |
| Keywords: | transaction costs preference discount assed contingent clasims |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
