| LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS |
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| 作者姓名： | 陈典发 冯建芬 |
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| 作者单位： | School of Mathematical Sciences Nankai University Tianjin 300071，China，School of Mathematical Sciences Nankai University，Tianjin 300071，China |
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| 摘 要： | This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.
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| 关 键 词： | 风险金 鞅 数学经济学 约束市场 |
| 收稿时间： | 2004-06-14 |
| 修稿时间： | 2005-04-28 |
LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS |
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| Dianfa Chen,Jianfen Feng.LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS[J].Acta Mathematica Scientia,2006,26(4):629-638. |
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| Authors: | Dianfa Chen Jianfen Feng |
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| Institution: | aSchool of Mathematical Sciences, Nankai University, Tianjin 300071, China |
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| Abstract: | This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums. |
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| Keywords: | Portfolios risk premium martingale set-valued processes |
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