Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect
Joint Authors
Li, Qing
Zhao, Xinquan
Zhou, Yanli
Ge, Xiangyu
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-08-25
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Many researchers have established various hedge models to get the optimal hedge ratio.
However, most of the hedge models only discuss the discrete-time processes.
In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation.
At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio.
In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test.
American Psychological Association (APA)
Li, Qing& Zhou, Yanli& Zhao, Xinquan& Ge, Xiangyu. 2016. Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1112495
Modern Language Association (MLA)
Li, Qing…[et al.]. Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect. Mathematical Problems in Engineering No. 2016 (2016), pp.1-8.
https://search.emarefa.net/detail/BIM-1112495
American Medical Association (AMA)
Li, Qing& Zhou, Yanli& Zhao, Xinquan& Ge, Xiangyu. Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-8.
https://search.emarefa.net/detail/BIM-1112495
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1112495