کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077275 1374124 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cooperative hedging with a higher interest rate for borrowing
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Cooperative hedging with a higher interest rate for borrowing
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 609-616
نویسندگان
, , ,