Variance-minimizing hedging in a model with jumps at deterministic times

被引：0

作者：

Radchenko, V. M. ^{[1
]}

机构：

[1] Kyiv Natl Taras Shevchenko Univ, Dept Math Anal, UA-01033 Kiev, Ukraine

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2007年 / 51卷 / 03期

关键词：

variance-minimizing hedging; European call option; Follmer-Schweizer decomposition; model of asset price with jumps; nonrandom jump times; minimal martingale measure;

D O I：

10.1137/S0040585X97982578

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a model in which the asset price is driven by the Wiener process and, in addition, has random changes at earlier known nonrandom time moments. The explicit form of the variance- minimizing hedging strategy for the European call option is derived. The results are based on the Follmer-Schweizer decomposition of contingent claims.

引用

页码：536 / 545

页数：10

共 16 条

[1] ANSEL JP, 1992, ANN I H POINCARE-PR, V28, P375
[2] DIMASI GB, 1995, THEOR PROBAB APPL, V39, P172
[3] Elliott R. J., 1982, Stochastic Calculus and Applications
[4] FOLLMER H, 1991, HEDGING CONTINGENT C, P389
[5] HOU C, 2004, ADV STUD PURE MATH, V41, P141
[6] A semimartingale BSDE related to the minimal entropy martingale measure
Mania, M
Santacroce, M
Tevzadze, R
[J]. FINANCE AND STOCHASTICS, 2003, 7 (03) : 385 - 402
[7] OPTION PRICING WHEN UNDERLYING STOCK RETURNS ARE DISCONTINUOUS
MERTON, RC
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 125 - 144
[8] FOLLMER-SCHWEIZER DECOMPOSITION AND MEAN-VARIANCE HEDGING FOR GENERAL CLAIMS
MONAT, P
STRICKER, C
[J]. ANNALS OF PROBABILITY, 1995, 23 (02) : 605 - 628
[9] Musiela M., 1997, Martingale Methods in Financial Modelling
[10] PHAM H, 1998, FINANC STOCH, V2, P173, DOI DOI 10.1007/s007800050037

← 1 2 →