一般支付过程的局部风险最小对冲策略

本文主要研究对冲（套期保值）者的债务由一般的支付流描述时的局部风险最小对冲策略决定问题。我们在风险资产的价格过程在原概率测度下为半鞅的假设下，证明了局部风险最小对冲策略的存在性和唯一性。我们的结果包含了以前的局部风险最小对冲策略。在鞅的情形中，我们的局部风险最小对冲策略简化为Moller5]的风险最小对冲策略。

Locally Risk- minimizing Hedging Strategies for General Payment Process

This paper deals with the problem of determining locally risk-minimizing hedging strategies when the hedger＇s liablities are described by a general payoff stream. Under the assumptiom that the price procee of risky asset is assumed to be a semimartingale under original probability measure, we prove existence and uniqueness of the locally risk-minimizing strategy. Our results contains previous locally risk-minimizing hedging as special cases. In the martingale case, our locally risk-minimizing strategy reduces to Moller5]s one.