CAO Xiao-hua, PAN Jie. Derivative Pricing Based on Optimal Hedge in Incomplete Markets[J]. Journal of University of Electronic Science and Technology of China, 2008, 37(1): 154-156,160.
Citation:
CAO Xiao-hua, PAN Jie. Derivative Pricing Based on Optimal Hedge in Incomplete Markets[J]. Journal of University of Electronic Science and Technology of China, 2008, 37(1): 154-156,160.
CAO Xiao-hua, PAN Jie. Derivative Pricing Based on Optimal Hedge in Incomplete Markets[J]. Journal of University of Electronic Science and Technology of China, 2008, 37(1): 154-156,160.
Citation:
CAO Xiao-hua, PAN Jie. Derivative Pricing Based on Optimal Hedge in Incomplete Markets[J]. Journal of University of Electronic Science and Technology of China, 2008, 37(1): 154-156,160.
Derivative Pricing Based on Optimal Hedge in Incomplete Markets
In this paper we study the derivative pricing in incomplete financial market with two periods. The optimal hedge portfolio is given under the two moment sense. We show that the expected revenue of this portfolio is equal to the expected revenue of the derivatives and determines the theoretical price. An example on option pricing is given to demenstrate our discussions.
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