• DocumentCode
    477833
  • Title

    Hedging of American Contingent Claims in an Imcomplete Market

  • Author

    Li, Guangqin

  • Author_Institution
    Inst. of Math., Zhejiang Wanli Univ., Ningbo
  • Volume
    3
  • fYear
    2008
  • fDate
    18-20 Oct. 2008
  • Firstpage
    98
  • Lastpage
    102
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Fuzzy Systems and Knowledge Discovery, 2008. FSKD '08. Fifth International Conference on
  • Conference_Location
    Shandong
  • Print_ISBN
    978-0-7695-3305-6
  • Type

    conf

  • DOI
    10.1109/FSKD.2008.555
  • Filename
    4666221
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=477833