Title :
Hedging of American Contingent Claims in an Imcomplete Market
Author_Institution :
Inst. of Math., Zhejiang Wanli Univ., Ningbo
Abstract :
This paper addresses the hedging problem of American contingent claims in the framework of continuous-time Ito models for financial market. And the hedging prices of them in such a market under fixed proportional transaction costs are given.
Keywords :
financial management; American contingent claims; continuous-time Ito models; financial market; fixed proportional transaction costs; hedging prices; Bonding; Costs; Equations; Filtration; Fuzzy systems; Inverters; Mathematical model; Mathematics; Portfolios; Pricing;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery, 2008. FSKD '08. Fifth International Conference on
Conference_Location :
Shandong
Print_ISBN :
978-0-7695-3305-6
DOI :
10.1109/FSKD.2008.555
