论文标题
套期保值问题的交易成本的亚洲选项
Hedging problems for Asian options with transactions costs
论文作者
论文摘要
在本文中，我们考虑了在金融市场中以交易成本在金融市场中对冲亚洲期权的问题。为此，我们使用渐近对冲方法。交易成本在金融市场中渐近对冲的主要任务是证明当投资组合修订的数量倾向于$ n $ to Infinity到Infinity时，投资投资组合最终价值的概率融合到了付款功能。实际上，这意味着使用这种策略的投资者能够为所有金融交易付款，即使他们的人数无限制。
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in financial markets with transaction costs is to prove the probability convergence of the terminal value of the investment portfolio to the payment function when the number of portfolio revisions tends to be $n$ to infinity. In practice, this means that the investor, using such a strategy, is able to compensation payments for all financial transactions, even if their number increases unlimitedly.
