The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the re...The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk([6]) on pricing options in multiasset and multinominal model.展开更多
BROADIE,CIVITANIC AND SONER[2]研究了投资组合受凸约束下的BLACK-SCHOLES期权定价模型,获得了期权超价格的显式刻画结果,并且证明在一些技术性条件下期权超价格与相应的偏微分方程的解相对应．研究了投资组合受“矩形”约束的BLACK-SC...BROADIE,CIVITANIC AND SONER[2]研究了投资组合受凸约束下的BLACK-SCHOLES期权定价模型,获得了期权超价格的显式刻画结果,并且证明在一些技术性条件下期权超价格与相应的偏微分方程的解相对应．研究了投资组合受“矩形”约束的BLACK-SCHOLES期权定价模型,利用 BROADIE,CIVITANIC AND SONER[2]期权超价格的显式刻画结果和风险中性定价方法获得了投资组合受“矩形”约束下BLACK-SCHOLES期权超价格的解析解．展开更多
基金This work is supported by the major project "Financial Mathematics, Financial Engineering and Financial Management" of NNSFC.
文摘The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk([6]) on pricing options in multiasset and multinominal model.
文摘BROADIE,CIVITANIC AND SONER[2]研究了投资组合受凸约束下的BLACK-SCHOLES期权定价模型,获得了期权超价格的显式刻画结果,并且证明在一些技术性条件下期权超价格与相应的偏微分方程的解相对应．研究了投资组合受“矩形”约束的BLACK-SCHOLES期权定价模型,利用 BROADIE,CIVITANIC AND SONER[2]期权超价格的显式刻画结果和风险中性定价方法获得了投资组合受“矩形”约束下BLACK-SCHOLES期权超价格的解析解．
