Title of article :
Hedging American contingent claims with arbitrage costs
Author/Authors :
Wang Bo، نويسنده , , Meng Qingxin، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2007
Abstract :
In a continuous-time market model, the wealth process have an arbitrage costs. we give a representation for the upper hedging prices hup of American contingent claims. Furthermore, we give some example of the arbitrage costs.
Journal title :
Chaos, Solitons and Fractals
Journal title :
Chaos, Solitons and Fractals