摘要
给出 Banach空间 D1,1上梯度算子 D的一个性质 ,以及算术型亚式期权的定价与套期保值策略的计算途径 ,该计算途径将定价及套期保值策略的计算转变为一个简单的偏微分方程的求解 ;对投资者极大化生命期期望消费效用的最优化问题 ,在较一般情形下给出了由证券交易价格 (部分信息 )决定的最优投资消费策略显式解 ;从贷款利率高于存款利率的实际出发 ,讨论债务固定公司的最优投资策略问题 ,得到最优策略是公司当前财富净值的分段线性函数。
A useful property of the gradient operator on Banach space D 1,1 is established. Both valuation and hedging of the arithmetic Asian option are provided. An explicit solution is shown to the optimization problem of an investor who wants to maximize the expected total utility from consumption with partial information. Under the assumption that the loan rate is bigger than the saving rate, the optimal strategy for a company with fixed liabilities is dealt with.
出处
《系统工程》
CSCD
北大核心
2001年第3期25-29,共5页
Systems Engineering
关键词
投资消费
随机最优控制
亚式期权
债券
股票
Option Rricing
Hedging
Investment/Consumption
Martingale
Stochastic Optimal Control
