【摘要】 本文研究了高借款利率下投资策略受限制的美式未定权益的定价问题.文章通过引入反映上述金融市场摩擦的辅助的无摩擦金融市场类给出了美式未定权益的上下套期保值价格hup(K)和hlow(K)的定价公式.进一步,在基于金融市场无套利的准则下证明了[hlow(K),hup(K)]是美式未定权益的无套利价格区间.最后在投资策略受到某些具体限制的情形下,以美式看涨期权为例,给出了上下套期保值价格的显式表达式或估计式.更多还原

【Abstract】 The paper addresses the problem of pricing American Contingent Claims (ACCs) under constraints on portfolio choice and a higher interest rate for borrowing than for lending. In this paper, the formulae of the upper hedging price hup(K) and the lower hedging price hlow(K) of an ACC is derived by introducing a family of auxiliary frictionless financial markets. Furthermore, the arbitrage-free interval [hlow(K),hup(K)] is identified, based on the principle of absence of arbitrage. In the end, for several concrete constraints on portfolio, explicit computations or estimations of the upper hedging price and the lower hedging price are carried out in the case of American call-option.更多还原