| 最小方差准则下一个未定权益的近似对冲 |
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| 引用本文： | 胡华.最小方差准则下一个未定权益的近似对冲[J].数学杂志,2009,29(6). |
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| 作者姓名： | 胡华 |
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| 作者单位： | 宁夏大学数学计算机学院,宁夏,银川,750021 |
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| 摘 要： | 本文研究了不完备的离散时间股票市场下未定权益的定价的对冲问题.利用在最小方差准则下选择概率测度Q或权重函数LN来求最优投资组合的方法,给出了离散时间情况下的鞅表示定理,在最小方差准则下提供一个简单的方法来近似对冲一个未定权益或一个欧氏期权.
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| 关 键 词： | 最小方差 鞅表示定理 近似对冲 未定权益 |
ON APPROXIMATE HEDGING A CONTINGENT CLAIM IN THE MINIMUM VARIANCE CRITERION |
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| HU Hua.ON APPROXIMATE HEDGING A CONTINGENT CLAIM IN THE MINIMUM VARIANCE CRITERION[J].Journal of Mathematics,2009,29(6). |
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| Authors: | HU Hua |
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| Abstract: | In this article.the pricing and hedging problems of contingent claim in incomplete stock markets of discrete time are studied.By means of choosing the probability measure or the weight function LN to find the optimal portfolio in the minimum variance criterion,a theorem on martingale representation in the case of discrete time is given.We propound a simple method for approximate hedging a contingent claim or an European option in minimum variance criterion. |
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| Keywords: | minimum variance martingale representation approximate hedging contingent claim |
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