摘要
均值-方差套期保值是套期保值的主要方法之一。不连续资产价格的均值-方差套期保值策略通常是在利率为非随机的情况下获得的。本文考虑在随机利率下,资产价格为特殊半鞅的均值-方差套期保值问题。通过适当的概率测度变换,将具有随机利率的情形简化为非随机利率情形,再利用Galtchouk-Kunita-Watanabe分解,获得了资产价格为一般的特殊半鞅,具有随机利率的的均值-方差套期保值策略。
Mean-variance hedging is one of main methods for hedging. Mean-variance hedging strategies for general discontinuous asset prices are usually obtained under nonstochastic interst rate. In this paper, mean-variance hedging problem for asset prices which are special semimaxtingales is concerned under the stochastic interest rate. By proper measure transformation, the stochastic interest rate case is reduced to one with nonstochastic interest rate. Then, using the Galtchouk-Kunita-Watanabe decomposition we obtain mean-variance hedging strategies for asset prices which are special semimartingales with stochastic interest rate.
出处
《工程数学学报》
CSCD
北大核心
2007年第6期972-976,共5页
Chinese Journal of Engineering Mathematics
