马尔科夫转换模型下的套期保值策略研究

Research on hedging strategy of Markov regime switching model

考虑微观市场和宏观经济两种风险因素,利用非广延统计理论和马尔科夫过程建立了具有体制转换性质的资产价格模型,运用等价鞅测度、效用无差别定价方法和随机动态控制理论,得到了等价鞅测度参数所满足的线性规划方程和最优套期保值策略。

Considering the influence of two kind factors of micro market and macro economy,we employ the nonextensive statistical theory and a Markov process and establish an asset price model with the nature of regime switching.Using the equivalent martingale measure,the utility indifference pricing method and the stochastic dynamic control theory,we obtain a linear programming equation for parameters of the equivalent martingale measure and the optimal hedging strategy.