华东师范大学学报(自然科学版) ›› 2010, Vol. 2010 ›› Issue (5): 49-55.

• 应用数学与基础数学 • 上一篇    下一篇

几种期权的方差最优对冲策略

徐 耸1,2   

  1. 1. 华东师范大学 金融统计学院, 上海 2000622. 淮南师范学院 数学与计算机科学系, 安徽 淮南 232001
  • 收稿日期:2009-12-01 修回日期:2010-04-01 出版日期:2010-09-25 发布日期:2010-09-25
  • 通讯作者: 徐耸

Variance-optimal hedging strategy for several options

XU Song1,2   

  1. 1. School of Finance and Statistics, East China Normal University, Shanghai 200062, China; 2. Department of Mathematics and Computer Science, Huainan Normal University, Huainan Anhui 232001, China.
  • Received:2009-12-01 Revised:2010-04-01 Online:2010-09-25 Published:2010-09-25
  • Contact: XU Song

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摘要： 在支付红利的情况下, 考虑了两值期权CONC和AONC, 计算了其离散时间方差最优对冲策略, 给出其显式表达式. 并由此给出欧式看涨期权的最优对冲策略. 最后, 给出分红的预测例子.

关键词: 两值期权, 欧式看涨期权, 对冲, 鞅, 两值期权, 欧式看涨期权, 对冲, 鞅

Abstract: This paper explicitly computed the variance-optimal hedging strategy in discrete time for binary options and European call option on Dividend-paying Stock. An example of prediction of dividend was given.

Key words: European call option, hedging, martingale, binary option, European call option, hedging, martingale

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