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Received:May 13, 2004Revised:December 13, 2005 |
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Arbitrage-free interval of American contingent claims under proportional transaction cost |
Qingxin MENG, Bo WANG |
(Department of Mathematics, Huzhou Teachers College, Huzhou Zhejiang 313000,China; Wenzhou Medical College, Wenzhou Zhejiang 325035,China) |
Abstract: |
In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contingent claims. |
Key words: Hedging American contingent claim Transaction cost |