| Option Pricing in an Incomplete Market With Continuous Asset Price Process |
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| 引用本文： | 张曙光. Option Pricing in an Incomplete Market With Continuous Asset Price Process[J]. 中国科学技术大学学报, 1997, 0(3) |
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| 作者姓名： | 张曙光 |
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| 作者单位： | 中国科学技术大学统计金融系 |
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| 基金项目： | 中国科技大学96至97年度回国科研启动经费 |
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| 摘 要： | 研究资产价格连续的不完全金融市场中在约束条件下的期权定价问题，得到了买方价格及无套利区间．研究了可达权益的刻画，推广了已有的结论．
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| 关 键 词： | 保值价格，不完全市场，虚拟完备化，未定权益 |
Option Pricing in an Incomplete Market With Continuous Asset Price Process |
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| Zhang Shuguang. Option Pricing in an Incomplete Market With Continuous Asset Price Process[J]. Journal of University of Science and Technology of China, 1997, 0(3) |
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| Authors: | Zhang Shuguang |
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| Abstract: | In this paper, the problem of hedging contingent claims by portfolios constrained to take values in a given convex, closed subset of R m in an incomplete market is studied. By extending the pair of portfolio and consumption to a triple of portfolio, extra investment and consumption, an interval of arbitrage free prices of a given contingent claim is gotten. |
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| Keywords: | hedging price incomplete market fictitious completion contingent claim |
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