Mean-variance Hedging for Pricing European-type Contingent Claims with Transaction Costs

In this paper,a European-type contingent claim pricing problem with transaction costs is considered by a mean-variance hedging argument.The investor has to pay transaction costs which areproportional to the amount of stock transacted.The writer‘‘s hedging object is to minimize the hedgingrisk,defined as the variance of hedging error at expiration,with a proper expected excess return level.At first, we consider the mean-variance hedging problem:for initial hedging wealth f,maximizing the excess expected return under the minimum hedging risk level V0.On the other hand,we consider a mean-variance portfolio problem,which is to maximize the expected return with initial wealth 0 under the same risk level V0.The minimum initial hedging wealth f,which can offset the difference of the maximum expected return of these two problems,is the writer‘s price.     

股票分布模型的研究

根据股票的实际情况提出了一种股票价格分布的模型,给出了股票价格分布的一种确定方法.该模型能反映股票的整体性质,为今后从分布角度来研究股票的性质奠定了理论基础.