| Heston模型的效用无差别定价和套期保值 |
| |
| 引用本文： | 李玉萍,潘燕玲.Heston模型的效用无差别定价和套期保值[J].河南师范大学学报(自然科学版),2009,37(2). |
| |
| 作者姓名： | 李玉萍 潘燕玲 |
| |
| 作者单位： | 郑州师范高等专科学校,数学系,郑州,450044 |
| |
| 基金项目： | 河南省科协软科学研究基金 |
| |
| 摘 要： | 在风险资产服从Heston模型的假设下,研究了指数效用函数的无差别定价和套期保值问题.利用动态规划方法得到Heston模型的效用无差别定价的公式和套期保值策略.并利用效用无差别定价的性质构造了最小熵鞅测度,证明了最小鞅测度与极小熵鞅测度是一致的.
|
| 关 键 词： | 效用无差别定价 套期保值 HJB方程 |
Utility Indifference Pricing and Hedging in Heston Model |
| |
| LI Yu-ping,PAN Yan-ling.Utility Indifference Pricing and Hedging in Heston Model[J].Journal of Henan Normal University(Natural Science),2009,37(2). |
| |
| Authors: | LI Yu-ping PAN Yan-ling |
| |
| Institution: | Department of Mathematics;Zhengzhou Teachers College;Zhengzhou 450044;China |
| |
| Abstract: | Under the assumption that the traded asset follow the Heston model,this paper presents utility indifference pricing and hedging of the exponential utility function.By dynamic programming approach,the utility indifference pricing and hedging are obtained.The minimal entropy martingale measure is constructed by the property of the utility indifference pricing.Furthermore,it is shown that the minimal entropy martingale measure coincides with the minimal martingale measure. |
| |
| Keywords: | the utility indifference pricing hedging HJB equation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
