CAJ | 학술논문

考虑不完备证券市场中博弈未定权益(GCC)的保值问题,通过Kramkov关于上鞅的可选分解定理给出未定权益的上保值价格和下保值价格.指出关于买卖双方都存在着一个最优保值策略.给出价格的一个无套利区间,并针对前面的结论,给出几个性质以及在限制投资组合方面的一个应用.
고필불완비증권시장중박혁미정권익(GCC)적보치문제,통과Kramkov관우상앙적가선분해정리급출미정권익적상보치개격화하보치개격.지출관우매매쌍방도존재착일개최우보치책략.급출개격적일개무투리구간,병침대전면적결론,급출궤개성질이급재한제투자조합방면적일개응용.
In this paper, we consider the problem of hedging game contingent claims (GCC) in the setting of incomplete security markets. And through Kramkov's optional decomposition of super-martingale, we obtain the upper-hedging price and lower-hedging price of this style contingent claims. In addition, we also point out the existence of the optimal hedging strategies for the holder and writer. Finally, we give an arbitrage-free interval of the price, and we also give some properties and an application on portfolio with constraints according to the former result.