| 在初始财富不能复制给定未定权益下的最优复制策略 |
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| 引用本文： | 银建华.在初始财富不能复制给定未定权益下的最优复制策略[J].新疆师范大学学报(自然科学版),2006,25(1):19-22. |
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| 作者姓名： | 银建华 |
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| 作者单位： | 昌吉学院,数学系,新疆,昌吉,831100 |
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| 摘 要： | 文章基于无套利且完备的单时段市场,在初始财富不能复制给定未定权益的假设下,探讨了最大概率复制策略、最小亏空复制策略以及在给定概率约束下的最小亏空复制策略的存在性。
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| 关 键 词： | 未定权益 概率 亏空 最优投资策略 |
| 文章编号： | 1008-9659-(2006)-01-0019-04 |
| 收稿时间： | 09 1 2005 12:00AM |
| 修稿时间： | 2005年9月1日 |
The Optimal Replication Strategy under the Initial Wealth Which can't Replicate the Given Contingent Claim |
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| YIN Jianhua.The Optimal Replication Strategy under the Initial Wealth Which can''''t Replicate the Given Contingent Claim[J].Journal of Xinjiang Normal University(Natural Sciences Edition),2006,25(1):19-22. |
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| Authors: | YIN Jianhua |
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| Institution: | Mathematics Department of Changji College,Changi Xinjiang 831100 |
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| Abstract: | This paper is based on the single time interval market which is no arbitrage and complete.Under the assumption that the intial wealth can't replicate the given contingent claim,the paper discusses the existence of replication strategy of maximum probability,minimum defalcation and minimum defalcation which is subject to the given probability. |
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| Keywords: | contingent claim Probability defalcation Optimal replication strategy |
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