| 带交易费的市场模型和未定权益套期保值 |
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| 引用本文： | 许世蒙,谢古今.带交易费的市场模型和未定权益套期保值[J].装甲兵工程学院学报,1999(1). |
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| 作者姓名： | 许世蒙 谢古今 |
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| 作者单位： | 装甲兵工程学院数学教研室 北京100072 |
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| 摘 要： | 给出了有交易费的且多种股票参与交易的市场模型,并且讨论在此市场模型下的未定权益套期保值问题,在这一模型中,假定仅债券与股票之间有交易,而不同股票之间不直接进行交易以及交易费率是常数。
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| 关 键 词： | 交易费 未定权益 净资产 套期保值 鞅方法 |
Market Model and Hedging Contingent Claims under Transaction Costs |
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| Xu Shimeng Xie Gujin.Market Model and Hedging Contingent Claims under Transaction Costs[J].Journal of Armored Force Engineering Institute,1999(1). |
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| Authors: | Xu Shimeng Xie Gujin |
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| Institution: | Xu Shimeng Xie Gujin |
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| Abstract: | In this paper, we first construct the market model in which multiple stocks and a bond are traded under transaction costs, and then discuss the problem of the contingent claim. We assume that there are tradings between stocks and bond, but there is no direct trading among the stocks, and that the proportions of the transaction costs are fixed in the market. |
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| Keywords: | transaction costs contingent claims net asset hedging martingale approach |
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