| 高借款利率下投资策略受限制的美式未定权益的套期保值 |
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| 引用本文： | 孟庆欣,王波.高借款利率下投资策略受限制的美式未定权益的套期保值[J].复旦学报(自然科学版),2004,43(3):336-343. |
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| 作者姓名： | 孟庆欣 王波 |
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| 作者单位： | 复旦大学,数学研究所,上海,200433;湖州师范学院,数学系,湖州,313000;复旦大学,数学研究所,上海,200433;温州医学院,理学院,温州,325035 |
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| 基金项目： | 国家自然科学基金，10071014,70371010， |
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| 摘 要： | 在高借款利率、投资策略受限制的情况下研究美式未定权益的套期保值问题．在上述限制下通过引入无限制的辅助金融市场对美式未定权益的上套期保值价格进行了表征，同时在一定的条件下得到了关于美式买权的一些结果．
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| 关 键 词： | 未定权益 套期保值 限制市场 |
Hedging American Contingent Claims underConstraints and a Higher Interest Rate for Borrowing |
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| Abstract.Hedging American Contingent Claims underConstraints and a Higher Interest Rate for Borrowing[J].Journal of Fudan University(Natural Science),2004,43(3):336-343. |
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| Authors: | Abstract |
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| Abstract: | The hedging problem of American contingent claims is studied.The novel feature is that the portfolio is allowed with constraints and a higher interest rate for borrowing.The setting is that of a continuous-time It process model for the underlying assets. Under the above-constraints the upper hedging price of American contingent claims is characterized by introducing auxiliary unconstrained financial markets, which reflect the above-constraints.In addition,the example of American call-option under some conditions is dealed with. |
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| Keywords: | contingent claims hedging constrained markets |
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