| O-U过程的效用无差别定价和套期保值 |
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| 引用本文： | 潘燕玲,杨继德,刘利敏.O-U过程的效用无差别定价和套期保值[J].扬州大学学报(自然科学版),2011(4). |
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| 作者姓名： | 潘燕玲 杨继德 刘利敏 |
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| 作者单位： | 郑州师范学院数学系;许昌职业技术学院人文系;河南师范大学数学与信息科学学院; |
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| 基金项目： | 河南省教育厅软科学基金资助项目(2009A630026) |
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| 摘 要： | 在交易资产服从O-U(Ornstein-Uhlenbeck)过程模型的假设下,研究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了效用无差别定价满足的偏微分方程,同时得到对应的套期保值策略.
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| 关 键 词： | O-U过程 效用无差别定价 套期保值 |
Utility indifference pricing and hedging of O-U processes |
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| PAN Yan-ling,YANG Ji-de,LIU Li-min.Utility indifference pricing and hedging of O-U processes[J].Journal of Yangzhou University(Natural Science Edition),2011(4). |
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| Authors: | PAN Yan-ling YANG Ji-de LIU Li-min |
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| Institution: | PAN Yan-ling1,YANG Ji-de2,LIU Li-min3* (1.Dept of Math,Zhengzhou Teachers' Coll,Zhengzhou 450044,China,2.Fac of Hum,Xuchang Voc Tech Coll,Xuchang 453002,3.Coll of Math & Inf Sci,Henan Norm Univ,Xinxiang 453007,China) |
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| Abstract: | Under the assumption that the traded asset follows the O-U processes model,this paper presents utility indifference pricing and hedging of the exponential utility function.By dynamic programming approach,a partial differential equation of the utility indifference pricing is obtained,and corresponding hedging strategy is constructed. |
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| Keywords: | O-U processes utility indifference pricing hedging |
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