四川农业大学学报 ›› 2008, Vol. 26 ›› Issue (03): 286-289.doi: 10.16036/j.issn.1000-2650.2008.03.021

• 研究简报 • 上一篇    下一篇

带交易费的美式未定权益有偏好的套期保值

李小亮1, 刘新平2   

  1. 1. 浙江林学院, 临安 311300;
    2. 陕西师范大学 数学与信息科学学院, 西安 710062
  • 收稿日期:2008-07-10 出版日期:2008-09-30 发布日期:2017-03-03
  • 作者简介:李小亮(1982~),男,安徽霍山人,硕士,研究方向:应用概率统计。
  • 基金资助:
    国家自然科学基金资助项目(批准号:40271037)

Preferred Hedging Stratagems of American Contingent Claims with Transaction Costs

LI Xiao-liang1, LIU Xin-ping2   

  1. 1. Zhejiang Forestry University, Lin'an 311300, Zhejiang, China;
    2. College of Mathematics and Information Science, Shanxi Normal University, Xian 710062, China
  • Received:2008-07-10 Online:2008-09-30 Published:2017-03-03

摘要: 基于标的资产(股票)价格的对数正态分布,且有多种股票以恒定交易费参加交易的假设,引进了带交易费美式未定权益有偏好套期保值的概念;利用辅助鞅方法,得到在带交易费且有偏好条件下美式未定权益的套期保值和定价区间[H2*,H1*],也进一步得到了其卖方价hlow和买方价hup

关键词: 美式未定权益, 交易费, 偏好, 套期保值

Abstract: Based on the underlying asset (stock) pricings' lognormal distribution,the assumptions of varieties of stocks with constant transaction costs and the introduction of the concept of the preferred hedging stratagems of the American contingent claims with transaction costs,the preferred hedging stratagems of the American contingent claims with transaction costs and the counterpart asset optimization[H2*,H1*] can be obtained by using the method of auxiliary martingales,furthermore its seller price hlow and the buyer price hup.

Key words: american contingent claims, transaction costs, preference, hedging stratagems

中图分类号: 

  • O211.6