Hedging American contingent claims with arbitrage costs

Wang Bo*, Meng Qingxin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


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.

Original languageEnglish
Pages (from-to)598-603
Number of pages6
JournalChaos, Solitons and Fractals
Issue number2
Publication statusPublished - Apr 2007


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