| Mean-Variance Hedging for General Claims in an Incomplete Market： Numeraire Method |
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| 引用本文： | 王桂兰,叶中行.Mean-Variance Hedging for General Claims in an Incomplete Market： Numeraire Method[J].上海交通大学学报(英文版),2003,8(2):175-178. |
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| 作者姓名： | 王桂兰 叶中行 |
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| 作者单位： | Dept.ofMathematics,ShanghaiJiaotongUniv.,Shanghai200030,China |
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| 基金项目： | National Natural Science Foundation ofChina( 10 1710 66) and Shanghai Key Project( 0 2 DJ14 0 63 ) |
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| 摘 要： | This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-vari-ance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given.
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| 关 键 词： | 套期保值 平均误差 赔偿金 权利要求 不完全市场买卖 货币汇率 资本资产定价模型 |
Mean-Variance Hedging for General Claims in an Incomplete Market: Numeraire Method |
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| WANG Gui-lan ,YE Zhong-xing.Mean-Variance Hedging for General Claims in an Incomplete Market: Numeraire Method[J].Journal of Shanghai Jiaotong university,2003,8(2):175-178. |
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| Authors: | WANG Gui-lan YE Zhong-xing |
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| Institution: | Dept. of Mathematics, Shanghai Jiaotong Univ., Shanghai 200030, China |
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| Abstract: | This paper considered the problem of hedging a European call (put) option for a diffusion model where the asset price is influenced by n uncertain factors. The market is thus incomplete implying that perfect hedging is not possible. To derive a hedging strategy, it follows the approach based on the idea of hedging under a mean-variance criterion suggested by Schweizer. A very simple solution of this hedging problem by using the numeraire method was presented and some examples with explicit solutions were given. |
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| Keywords: | Mean-variance hedging incomplete market numeraire European options |
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