| 不完全市场上一种未定权益的套期保值策略 |
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| 引用本文： | 刘宣会,胡奇英.不完全市场上一种未定权益的套期保值策略[J].系统工程学报,2004,19(3):284-289. |
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| 作者姓名： | 刘宣会 胡奇英 |
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| 作者单位： | 1. 西安电子科技大学经济管理学院,陕西,西安,710071
2. 上海大学国际工商与管理学院,上海,201800 |
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| 基金项目： | 国家自然科学基金资助项目(69904008). |
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| 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．
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| 关 键 词： | 未定权益 套期保值策略 不完全市场 Clark公式 动态的风险度量 |
| 文章编号： | 1000-5781(2004)03-0284-06 |
Hedging strategy of a contingent claim in incomplete market |
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| LIU Xuan-hui,HU Qi-ying.Hedging strategy of a contingent claim in incomplete market[J].Journal of Systems Engineering,2004,19(3):284-289. |
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| Authors: | LIU Xuan-hui HU Qi-ying |
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| Institution: | LIU Xuan-hui~1,HU Qi-ying~2 |
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| Abstract: | 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. |
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| Keywords: | contingent claim hedging strategy incomplete market Clark formula dynamic measure of risk |
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