随机最大值原理下的套期保值问题研究

Stochastic Maximum Principle for Hedging Problem as the Stock Price Follows Jump-diffusion Process

现实中当有重大信息出现时会对股票价格产生冲击,使其呈现不连续跳跃,即股票价格表现为一种跳跃-扩散模型。在股票价格服从跳跃-扩散过程模型中,引入均值-方差准则,运用倒向随机微分方程及随机最大值原理对套期保值问题进行研究,并得到了该框架下的最优套期保值策略。

In real word as the significant information occurs, the stock price has discontinuous jump. This paper extends the hedging problem to the jump-diffusion model. Some BSDEs are intro- duced, Stochastic maximum principle can be obtained. Through the solutions of those BSDEs, we ob- tain the optimal hedging strategy of the mean-variance hed^in~ problem