Acta mathematica scientia, Series B >
LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS
Received date: 2004-06-14
Revised date: 2005-04-28
Online published: 2006-10-20
This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.
Key words： Portfolios; risk premium; martingale; set-valued processes
Chen Dianfa , Feng Jianfen . LOWER HEDGING OF CONTINGENT CLAIMS IN RANDOMLY CONSTRAINED MARKETS[J]. Acta mathematica scientia, Series B, 2006 , 26(4) : 629 -638 . DOI: 10.1016/S0252-9602(06)60089-1
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