Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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ON THE ATTAINABILITY CONDITION AND LOWER BOUND ESTIMATE OF FAIR PRICE FOR HEDGING PORTFOLIO

  • Choi, Won (Department of Mathematics, University od Inchon)
  • Published : 2000.08.01
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Abstract

In this paper, we observe the relation between the attainability of contingent claims and solutions of associated difference-differential equations. And we find the lower bound estimate of fair price using the minimax statistical approach.

Keywords

References

  1. Stochastic calculus and applications R.T.Elliot
  2. Stoch.Processes and their appl. v.11 Martingales and stochastics integrals in the theory of continuous trading J.M.Harrison;S.R.Pliska
  3. Stochastic differential equations and diffusion processes N.Ikeda;S.Watanabe