Cooperative hedging with a higher interest rate for borrowing

The paper studies the cooperative hedging problem of contingent claims in an incomplete financial market. Firstly we give the characterization of the optimal cooperative hedging strategy for the Black–Scholes model and the Volatility Jump model explicitly, then we consider the problem of cooperative hedging for the multi-agent case in a market with a higher borrowing interest rate. By the results of concave and linear backward stochastic differential equations, we give the optimal cooperative hedging strategy in our model.