대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제37권3호
  • /
  • Pages.451-459
  • /
  • 2000
  • /
  • 1015-8634(pISSN)
  • /
  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
권호 표지

ON THE ATTAINABILITY CONDITION AND LOWER BOUND ESTIMATE OF FAIR PRICE FOR HEDGING PORTFOLIO

  • Choi, Won (Department of Mathematics, University od Inchon)
  • 발행 : 2000.08.01
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초록

In this paper, we observe the relation between the attainability of contingent claims and solutions of associated difference-differential equations. And we find the lower bound estimate of fair price using the minimax statistical approach.

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참고문헌

  1. Stochastic calculus and applications R.T.Elliot
  2. Stoch.Processes and their appl. v.11 Martingales and stochastics integrals in the theory of continuous trading J.M.Harrison;S.R.Pliska
  3. Stochastic differential equations and diffusion processes N.Ikeda;S.Watanabe