Ӧ�ø���ͳ�� 2011, 27(6) 587-596 DOI:      ISSN: 1001-4268 CN: 31-1256

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Exponential Utility of Indifference Prices and Hedging Strategy with Transaction Costs
Liu Limin,Wang Xuantao
Henan Normal University,University of Shanghai for
Science and Technology,Southeast University
Abstract:

This article studies the indifference prices
and hedging strategies in the presence of proportional transaction
costs in the incomplete markets. By introducing a new probabilistic
measure, the indifference price and the corresponding hedging
strategy can be got in one period model. A probabilistic iterative
algorithm is constructed for indifference prices of claims in a
multiperiod incomplete model. And the corresponding pricing measure
and the hedging strategy can be got. Pricing measure proves a
martingale measure if the transaction cost is zero.

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