LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

来源 :数学物理学报（英文版） | 被引量 : 0次 | 上传用户：signet886

【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 pr

【作者】

：

Chen Dianfa Feng Jianfen

【机构】

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School of Mathematical Sciences

【出处】

：

数学物理学报（英文版）

【发表日期】

：

2004年期

【关键词】

：

Portfolios risk premium martingale set-valued processes

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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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LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS

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