对数正态随机波动率期权局部风险最小定价与风险对冲

随机波动率模型是著名的Black-Scholes模型的推广，该模型描述的市场是不完备的，相应期权的定价与保值和投资者的风险态度有关．本文假设标的资产波动率为对数正态过程，根据局部风险最小准则，运用梯度算子方法，得到了欧式看涨期权的局部风险最小定价及套期保值策略的显式解．

THE LOCAL R-MINIMIZED PRICING AND HEDGING OF OPTION UNDER THE LOG-NORMAL STOCHASTIC VOLATILITY

Stochastic volatility models are the generalization of the well-known Black-Scholes model,and the markets described by them are incomplete.Therefore,the pricing and hedging of the option depend on the attitude of the investors.Generally speaking,it is extremely difficult for one to obtain an explicit solution to the pricing or hedging.In this paper,we assuming the volatility follows a log-normal stochastic process,this paper derived the explicit solutions to the local R-minimized pricing and hedging of Euro...