运筹与管理2011，Vol.20Issue(5)：135-142,8.
基于动态规划原理的平方套期保值策略研究
Research on Quadratic Hedging Based on Dynamic Programming
摘要
Abstract
Under the constraint of self - financing, this paper assumes that the underlying price obeys a jump-diffusion process and studies the quadratic hedging for European style contingent claims. During the hedging horizon [0,T] , by using dynamic programming method, we first get the explicit expression of hedging strategies, which can minimize the terminal risk. Then, by comparison of all hedging results under different settings, the dependent relationship between the hedging position and the hedging horizon, the direct proportion relationship between the hedging position and the underlying asset' s price ,the inverse proportion relationship between the hedging position and the exercise price are acquired.关键词
未定权益/动态规划/套期保值/平方标准/跳扩散过程Key words
contingent claim/ dynamic programming/ hedgingl/ quadratic criteria/ jump-diffusion process分类
管理科学引用本文复制引用
郭建华,肖庆宪..基于动态规划原理的平方套期保值策略研究[J].运筹与管理,2011,20(5):135-142,8.基金项目
上海市重点学科建设资助项目(S30501) （S30501）
上海市哲学社会科学规划项目(2009BJ001) （2009BJ001）
