Variance-optimal hedging strategy for several options

XU Song1,2

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

CLC Number:

XU Song;. Variance-optimal hedging strategy for several options[J]. Journal of East China Normal University(Natural Sc, 2010, 2010(5): 49-55.

[1]	JIANG Ying;LIN Jian-zhong. Pricing basket future options in jump-diffusion models [J]. Journal of East China Normal University(Natural Sc, 2010, 2010(6): 169-177.
[2]	XU Lin;WANG Rong-ming;YAO Ding-jun. Upper Bound for Renewal Risk Model with Stochastic Investment Return(English) [J]. Journal of East China Normal University(Natural Sc, 2007, 2007(1): 70-77.
[3]	XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes [J]. Journal of East China Normal University(Natural Sc, 2004, 2004(2): 37-42.
[4]	TIAN Rong;CHAI Jun. Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency [J]. Journal of East China Normal University(Natural Sc, 2003, 2003(2): 27-31.

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