• 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
  • Pages
    6
  • From page
    598
  • To page
    603
  • 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
  • Serial Year
    2007
  • Journal title
    Chaos, Solitons and Fractals
  • Record number

    902442

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=902442