Mean-Variance Hedging Based on an Incomplete Market with External Risk Factors of Non-Gaussian OU Processes
المؤلف
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-20، 20ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2015-04-08
دولة النشر
مصر
عدد الصفحات
20
التخصصات الرئيسية
الملخص EN
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semiexplicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian Ornstein-Uhlenbeck (NGOU) processes.
Analytical and numerical examples are both presented to illustrate the effectiveness of our optimal strategy.
Our study establishes the connection between our financial system and existing general semimartingale based discussions by justifying required conditions.
More precisely, there are three steps involved.
First, we firmly prove the no-arbitrage condition to be true for our financial market, which is used as an assumption in existing discussions.
In doing so, we explicitly construct the square-integrable density process of the variance-optimal martingalemeasure (VOMM).
Second, we derive a backward stochastic differential equation (BSDE) with jumps for the mean-value process of a given contingent claim.
The unique existence of adapted strong solution tothe BSDE is proved under suitable terminal conditions including both European call and put options as special cases.
Third, by combining the solution of the BSDE and the VOMM, we reach the justification ofthe global risk optimality for our hedging strategy.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Dai, Wanyang. 2015. Mean-Variance Hedging Based on an Incomplete Market with External Risk Factors of Non-Gaussian OU Processes. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-20.
https://search.emarefa.net/detail/BIM-1074317
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Dai, Wanyang. Mean-Variance Hedging Based on an Incomplete Market with External Risk Factors of Non-Gaussian OU Processes. Mathematical Problems in Engineering No. 2015 (2015), pp.1-20.
https://search.emarefa.net/detail/BIM-1074317
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Dai, Wanyang. Mean-Variance Hedging Based on an Incomplete Market with External Risk Factors of Non-Gaussian OU Processes. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-20.
https://search.emarefa.net/detail/BIM-1074317
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1074317
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر