arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions无套利条件和对冲策略与惩罚成本对市场空头头寸.pdfVIP

Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2012, Article ID 937324, 20 pages doi:10.1155/2012/937324 Research Article Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions O. L. V. Costa and E. V. Queiroz Filho Departamento de Engenharia de Telecomunicac¸oes e Controle, ˜ Escola Politecnica da Universidade de Sao Paulo, 05508-900 Sao Paulo, SP, Brazil ´ ˜ ˜ Correspondence should be addressed to O. L. V. Costa, oswaldo@lac.usp.br Received 25 October 2011; Accepted 13 December 2011 Academic Editor: Weihai Zhang Copyright q 2012 O. L. V. Costa and E. V. Queiroz Filho. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies. 1. Introduction In recent years, applications of stochastic analysis and control have entered in the field of financial engineering in an effective and rapid way, due mainly to the powerful tools that can be brought from these disciplines into almost all aspects of fiel