高借款利率下有交易费的欧式未定权益的套期保值

上海大学学报(自然科学版)

高借款利率下有交易费的欧式未定权益的套期保值

唐矛宁1，赵飞2

1.湖州师范学院理学院,湖州 313000; 2.上海大学理学院, 上海 200444

收稿日期:2005-03-16 修回日期:1900-01-01 出版日期:1900-01-01 发布日期:1900-01-01
通讯作者: 唐矛宁1

Hedging European Contingent Claims at Higher Interest Rate for Borrowing with Transaction Costs

TANG Mao-ning1,ZHAO Fei2

1. School of Sciences, Huzhou Teachers College, Huzhou 313000, China;
2. School of Sciences, Shanghai University, Shanghai 200444, China

Received:2005-03-16 Revised:1900-01-01 Online:1900-01-01 Published:1900-01-01
Contact: TANG Mao-ning1

摘要/Abstract

摘要：

研究了在借款利率大于存款利率的条件下,投资者拥有或借入风险资产需交纳比例费用的摩擦金融市场中的欧式未定权益套期保值问题．通过引入反映上述金融市场摩擦的辅助无摩擦金融市场类,给出了上套期保值价格的表达式,并证明了最优上套期保值策略的存在性．用类似的方法可以得到下套期保值价格的表达式,进而得到欧式未定权益的无套利价格区间.

关键词: Doob-Meyer分解, 定价, 套利摩擦市场, 未定权益, 鞅表示定理

Abstract:

This paper studies the problem of hedging European Contingent Claims (ECCs) in the market that has frictions in the form of percentage management costs for holding or borrowing risk assets and a higher interest rate for borrowing than for lending. The upper-hedging price of an ECC is obtained by introducing a family of auxiliary frictionless financial markets Existence of an optimal portfolio for hedging contingent claims is shown. A similar method can be used to get a lower-hedging price and then an arbitrage-free interval.

Key words: arbitrage frictional markets, Doob-Meyer decompositions, martingale representation theorem

, pricing,

contingent claims

唐矛宁;赵飞. 高借款利率下有交易费的欧式未定权益的套期保值[J]. 上海大学学报(自然科学版).

TANG Mao-ning;ZHAO Fei. Hedging European Contingent Claims at Higher Interest Rate for Borrowing with Transaction Costs[J]. Journal of Shanghai University（Natural Science Edition）.

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