摘要
当有重大信息出现时,股票价格会呈现不连续的跳跃,在股票价格服从跳-扩散过程时,研究了均值-方差准则下的套期保值问题.运用倒向随机微分方程及随机控制理论得到了均值-方差准则下的最优套期保值策略.
As the significant information occurs , the stock price has discontinuous jump .This paper extended the mean-variance hedging problem to the jump-diffusion model .Some BS-DEs were introduced , the optimal control can be obtained .Through the solutions of those BSDEs , obtained the optimal hedging strategy of the mean-variance hedging problem .
出处
《哈尔滨商业大学学报(自然科学版)》
CAS
2014年第1期109-113,共5页
Journal of Harbin University of Commerce:Natural Sciences Edition
基金
陕西省教育厅科研计划项目资助(2013JK0594)