纺织高校基础科学学报2016，Vol.29Issue(4)：465-470,6.DOI:10.13338/j.issn.1006-8341.2016.04.009
一类混合未定权益的套期保值问题
The problem about the hedging strategy of a mix contingent claim
摘要
Abstract
When the stock price follows the Levy process,the optimal hedging problem of the multiple mixed contingent is studied.By constructing backward stochastic differential equation and linear-quadratic(LQ) optimal control,the optimal hedging strategy is obtained,and the relationship is discussed between the mixed contingent claims and individual contingent claim under the optimal hedging strategy,that is to say the relationship is convexity.关键词
混合未定权益/均值-方差准则/Levy过程/倒向随机微分方程Key words
mixed contingent claims/mean-variance criterion/Levy process/backward stochastic differential equation分类
数理科学引用本文复制引用
陈会,刘宣会,张琳..一类混合未定权益的套期保值问题[J].纺织高校基础科学学报,2016,29(4):465-470,6.基金项目
陕西省教育厅科研计划项目(2013JK0594) （2013JK0594）
