纺织高校基础科学学报2017，Vol.30Issue(1)：56-62,7.DOI:10.13338/j.issn.1006-8341.2017.01.010
具有随机波动的套期保值问题
Hedging problem with stochastic volatility
张琳 1刘宣会 1陈会1
作者信息
- 1. 西安工程大学理学院,陕西西安710048
- 折叠
摘要
Abstract
Considering the price of a discontinuous jump,that is,when the stock price follows the jump diffusion process,in order to pursue the highest income or the lowest risk of a certain level of income in a certain degree of risk,when the stochastic volatilitys obey to the It(o) process,the robust dynamic hedging problem with stochastic volatility is studied.By applying the stochastic differential game theory and HJBI equation,the optimal hedging strategy according to expression is obtained.关键词
套期保值/跳跃-扩散过程/随机微分对策/HJBI方程Key words
hedging/jump-diffusion process/stochastic differential game/HJBI equation分类
数理科学引用本文复制引用
张琳,刘宣会,陈会..具有随机波动的套期保值问题[J].纺织高校基础科学学报,2017,30(1):56-62,7.
