| 不完备证券市场中博弈未定权益的保值 |
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| 引用本文： | 王磊,金治明. 不完备证券市场中博弈未定权益的保值[J]. 模糊系统与数学, 2010, 24(1) |
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| 作者姓名： | 王磊 金治明 |
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| 作者单位： | 国防科技大学,数学与系统科学系,湖南,长沙,410073 |
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| 摘 要： | 考虑不完备证券市场中博弈未定权益(GCC)的保值问题,通过Kramkov关于上鞅的可选分解定理给出未定权益的上保值价格和下保值价格。指出关于买卖双方都存在着一个最优保值策略。给出价格的一个无套利区间,并针对前面的结论,给出几个性质以及在限制投资组合方面的一个应用。
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| 关 键 词： | 博弈期权 未定权益 保值 投资组合 |
Hedging Game Contingent Claims in Incomplete Security Markets |
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| WANG Lei,JIN Zhi-ming. Hedging Game Contingent Claims in Incomplete Security Markets[J]. Fuzzy Systems and Mathematics, 2010, 24(1) |
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| Authors: | WANG Lei JIN Zhi-ming |
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| Affiliation: | National University of Defense Technology/a>;Changsha 410073/a>;China |
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| Abstract: | In this paper,we consider the problem of hedging game contingent claims(GCC) in the setting of incomplete security markets.And through Kramkov's optional decomposition of super-martingale,we obtain the upper-hedging price and lower-hedging price of this style contingent claims.In addition,we also point out the existence of the optimal hedging strategies for the holder and writer.Finally,we give an arbitragefree interval of the price,and we also give some properties and an application on portfolio with const... |
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| Keywords: | Game Option Contingent Claims Hedging Portfolio |
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