The upper-hedging price of an ECC is obtained by introducing a family of auxiliary frictionless financial markets Existence of an optimal portfolio for hedging contingent claims is shown.
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- 通过引入反映上述金融市场摩擦的辅助无摩擦金融市场类,给出上套期保值价格的表达式,并证明了最优上套期保值策略的存在性。