Hedging American contingent claims with arbitrage costs

Wang Bo and Meng Qingxin

Chaos, Solitons & Fractals, 2007, vol. 32, issue 2, 598-603

Abstract: In a continuous-time market model, the wealth process have an arbitrage costs. we give a representation for the upper hedging prices hup of American contingent claims. Furthermore, we give some example of the arbitrage costs.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:32:y:2007:i:2:p:598-603

DOI: 10.1016/j.chaos.2005.11.007

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