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		Qingxin MENG,Bo WANG.[en_title][J].Control Theory and Technology,2006,4(2):114~120.[Copy]

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QingxinMENG,BoWANG
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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