CAJ | 학술논문

应用统计方法得出美式未定权益的α-价格,并构造出它的一个最小套期保值策略,再根据美式未定权益的α-价格推导出依概率可达未定权益的公平价格公式,并用该公式求出一个单时段市场上依概率可达未定权益的公平价格.
응용통계방법득출미식미정권익적α-개격,병구조출타적일개최소투기보치책략,재근거미식미정권익적α-개격추도출의개솔가체미정권익적공평개격공식,병용해공식구출일개단시단시장상의개솔가체미정권익적공평개격.
Based on statistical analogies, the α- price of an American contingent claim is obtained,and a minimal hedge strategy is constructed.Enlightened by hedging the contingent claim in probability,we get the pricing formula of the contingent claim attainable in probability.At last we consider an example which is an one period model attainable in probability and get the fair price by this pricing formula,its special case is a non-attainable contingent claim.