Hedging American contingent claims with arbitrage costs

Wang Bo; Meng Qingxin

doi:10.1016/j.chaos.2005.11.007

Hedging American contingent claims with arbitrage costs

Wang Bo^*, Meng Qingxin

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

In a continuous-time market model, the wealth process have an arbitrage costs. we give a representation for the upper hedging prices h_up of American contingent claims. Furthermore, we give some example of the arbitrage costs.

Original language	English
Pages (from-to)	598-603
Number of pages	6
Journal	Chaos, Solitons and Fractals
Volume	32
Issue number	2
DOIs	https://doi.org/10.1016/j.chaos.2005.11.007
Publication status	Published - Apr 2007

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title = "Hedging American contingent claims with arbitrage costs",

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.",

author = "Wang Bo and Meng Qingxin",

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M3 - Article

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JO - Chaos, Solitons and Fractals

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Hedging American contingent claims with arbitrage costs

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