摘要
在标的资产价格服从几何布朗运动的Black Scholes模型中,金融市场为完全市场时,给出一种精确的套期保值策略.然后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 geometric Brownian motion in the Black-Scholes model. If the finance market is complete this paper gives an accurate hedging strategy by another method. Then we introduce a dynamic measure of risk to the incomplete market, under which we have acquired the optimal replication of a contingent claim in the finance market which is induced by a risk neutral probability measare. With an application of a generalized Clark formula the paper provides the optimal hedging strategy for a contingent claim.
出处
《系统工程学报》
CSCD
2004年第3期284-289,共6页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(69904008).
