| 随机限制市场中的最优溢价 |
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| 引用本文： | 陈典发.随机限制市场中的最优溢价[J].应用数学,2004,17(1):26-30. |
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| 作者姓名： | 陈典发 |
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| 作者单位： | 天津南开大学数学学院,天津,300071 |
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| 摘 要： | 本文讨论不定权益在一簇辅助市场中的上确界的到达性 ,该问题与限制市场中不定权益的对冲问题密切相关
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| 关 键 词： | 不定权益 风险溢价 布朗运动 鞅 |
Optimal Premium in Randomly Constrained Markets |
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| Abstract.Optimal Premium in Randomly Constrained Markets[J].Mathematica Applicata,2004,17(1):26-30. |
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| Authors: | Abstract |
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| Abstract: | This article studies the arbitrage prices in a family of auxiliary markets of a contingent claim.The related conditions for their supreme being arrived are given.Such a study is closely related to the upperhedging of European contingent claims in an randomly constrained incomplete financial market. |
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| Keywords: | Contingent claim Risk premium Brownian motion Martingale |
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