随机波动率模型下含违约风险的欧式衍生产品的套期保值

研究了含违约风险的欧式未定权益的最优套期保值问题. 假定含违约风险衍生产品的标的资产满足Heston随机波动率模型, 则利用局部风险最小化方法获得含违约风险衍生产品的最优套期保值策略. 此外, 还考虑了在一个特别情况下, 研究了含违约风险的欧式看涨期权的最优套期保值问题, 并通过特征函数和傅里叶反演公式给出了明确的局部风险最小化套期保值策略.

Hedging for European contingent claims with default risk based on a stochastic volatility model

An optimal hedging problem of the European contingent claims with default risk is probed in this work. The underlying asset of the European contingent claims with default risk is assumed to fit a Heston stochastic volatility model. Using the local risk minimization method, we obtain an explicit closed-form solution for the optimal hedging strategies of the European contingent claims with default risk. Further, we consider a special case, in which a problem of hedging for a European call option with default risk is considered. Explicit expressions for the local risk minimization hedging strategies are derived using the characteristic functions and Fourier inversion formula.