OPTION HEDGING FOR SEMIMARTINGALES

被引：141

作者：

SCHWEIZER, M

机构：

[1] Institut für Angewandte Mathematik, Universität Bonn

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1991年 / 37卷 / 02期

关键词：

OPTION HEDGING; SEMIMARTINGALES; R-MINIMALITY; OPTIMALITY EQUATION; MINIMAL MARTINGALE MEASURE; CONTINUOUS TRADING; BLACK-SCHOLES MODEL; CONTINGENT CLAIMS; INCOMPLETE MARKETS;

D O I：

10.1016/0304-4149(91)90053-F

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a general stochastic model of frictionless continuous trading. The price process is a semimartingale and the model is incomplete. Our objective is to hedge contingent claims by using trading strategies with a small riskiness. To this end, we introduce a notion of local R-minimality and show its equivalence to a new kind of stochastic optimality equation. This equation is solved by a Girsanov transformation to a minimal equivalent martingale measure. We prove existence and uniqueness of the solution, and we provide several examples. Our approach contains previous treatments of option trading as special cases.

引用

页码：339 / 363

页数：25

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