DYNAMIC-PROGRAMMING AND PRICING OF CONTINGENT CLAIMS IN AN INCOMPLETE MARKET

被引：274

作者：

ELKAROUI, N

QUENEZ, MC

机构：

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1995年 / 33卷 / 01期

关键词：

OPTION PRICING; INCOMPLETE MARKET; EQUIVALENT MARTINGALE MEASURES; PORTFOLIO PROCESSES; STOCHASTIC CONTROL;

D O I：

10.1137/S0363012992232579

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The problem of pricing contingent claims or options from the price dynamics of certain securities is well understood in the context of a complete financial market. This paper studies the same problem in an incomplete market. When the market is incomplete, prices cannot be derived from the absence of arbitrage, since it is not possible to replicate the payoff of a given contingent claim by a controlled portfolio of the basic securities. In this situation, there is a price range for the actual market price of the contingent claim. The maximum and minimum prices are studied using stochastic control methods. The main result of this work is the determination that the maximum price is the smallest price that allows the seller to hedge completely by a controlled portfolio of the basic securities. A similar result is obtained for the minimum price (which corresponds to the purchase price).

引用

页码：29 / 66

页数：38

共 19 条

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