发帖
雷达卡
摘要翻译：
研究了比例交易费用下博弈期权的超复制问题。我们考虑了一个多维连续时间模型，其中股票价格折现过程满足条件完全支持性质。我们证明了超级复制价格是一个简单的超级复制策略的最便宜成本。这一结果是前文（见[3]和[7])只考虑欧式选择的推广。在这些论文中，作者证明了在存在比例交易费用的情况下，欧式期权的超复制价格是由支付函数的凹包络给出的。在本工作中，我们证明了对于博弈期权，超复制价格是由标准凹包络项的博弈变体模拟给出的。游戏选项的处理更加复杂，需要额外的工具。我们将一致价格系统理论与文[1]中发展的扩展弱收敛理论结合起来。第二个理论在处理套期保值时至关重要，套期保值涉及停止时间，就像在博弈期权的情况下一样。
---
英文标题：
《Hedging of Game Options With the Presence of Transaction Costs》
---
作者：
Yan Dolinsky
---
最新提交年份：
2012
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
---
英文摘要：
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial super-replication strategy. This result is an extension of previous papers (see [3] and [7]) which considered only European options. In these papers the authors showed that with the presence of proportional transaction costs the super--replication price of a European option is given in terms of the concave envelope of the payoff function. In the present work we prove that for game options the super-replication price is given by a game variant analog of the standard concave envelope term. The treatment of game options is more complicated and requires additional tools. We combine the theory of consistent price systems together with the theory of extended weak convergence which was developed in [1]. The second theory is essential in dealing with hedging which involves stopping times, like in the case of game options.
---
PDF链接：
https://arxiv.org/pdf/1103.1165
京公网安备 11010802022788号
