原資産価格過程に依存する取引費用を伴うヘッジ戦略の局所リスク最小化

概要

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We study the approach to the pricing and hedging of contingent claims under transaction costs in incomlete market. In incomplete market, we cannot replicate contingent claims. That is why various hedge method is suggested, for exemple, mean-variance hedge, local risk-minimization, and so on. In [2], Lamberton, Pham and Schweizer gave the new approach for local risk-minimization under transaction costs. In their case, bid-ask spread ratio does not change with respect to the time evolution, namely the cost parameter λ is constant. We extend their case to the case that the cost parameter λ depends on the stochastic process of underlying asset price.
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