标的资产服从跳-扩过程未定权益套期保值策略

Hedging strategy of a contingent claim as the price of theunderlying asset follow jump-diffusion process

在标的资产价格服从跳跃 扩散过程模型中,在不完全市场引入一种动态的风险度量准则,在风险中性的概率测度诱导的金融市场上,对一种未定权益找到了在风险的动态度量准则下的最优复制,然后运用一般的Clark公式与Malliavin分析得到了最优的套期保值策略.

The price of underlying assets follows a jump-diffusion process. We introduce the dynamic measure of risk to the incomplete market. We have acquired optimal replication of contingent claim in the auxilizar finance market which is induced by a risk neutral probability measure. With an application clark formula the paper provides the optimal hedging strategy for a contingent claim.