VARIANCE-OPTIMAL HEDGING IN DISCRETE-TIME

被引：162

作者：

SCHWEIZER, M

机构：

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 1995年 / 20卷 / 01期

关键词：

HEDGING; FINANCIAL MATHEMATICS; CONTINGENT CLAIMS; MEAN-VARIANCE CRITERION; SIGNED MARTINGALE MEASURES;

D O I：

10.1287/moor.20.1.1

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We solve the problem of approximating in L(2) a given random variable H by stochastic integrals G(T)(I) of a given discrete-time process X. We interpret H as a contingent claim to be paid out at time T, X as the price evolution of some risky asset in a financial market. and G(I) as the cumulative gains from trade using the hedging strategy I. As an application. we determine the variance-optimal strategy which minimizes the variance of the net loss H - G(T)(I) over ail strategies I.

引用

页码：1 / 32

页数：32

共 18 条

[1] ASSET PRICING FOR GENERAL PROCESSES
BACK, K
[J]. JOURNAL OF MATHEMATICAL ECONOMICS, 1991, 20 (04) : 371 - 395
[2] Dellacherie C., 1982, N HOLLAND MATH STUD, V72
[3] Duffie D., 1988, SECURITY MARKETS STO
[4] Duffie D., 1991, ANN APPL PROBAB, V1, P1, DOI DOI 10.1214/AOAP/1177005978
[5] FOLLMER H, 1991, APPL STOCHASTIC ANAL, P389
[6] Harrison J. M., 1981, Stochastic Processes & their Applications, V11, P215, DOI 10.1016/0304-4149(81)90026-0
[7] MARTINGALES AND ARBITRAGE IN MULTIPERIOD SECURITIES MARKETS
HARRISON, JM
KREPS, DM
[J]. JOURNAL OF ECONOMIC THEORY, 1979, 20 (03) : 381 - 408
[8] Hofmann N., 1992, MATH FINANC, V2, P153
[9] Luenberger DG., 1968, OPTIMIZATION VECTOR
[10] ON QUADRATIC COST CRITERIA FOR OPTION HEDGING
SCHAL, M
[J]. MATHEMATICS OF OPERATIONS RESEARCH, 1994, 19 (01) : 121 - 131

← 1 2 →