| 随机利率下的均值-方差最小套期保值 |
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| 引用本文： | 张海沨. 随机利率下的均值-方差最小套期保值[J]. 工程数学学报, 2007, 24(6): 972-976 |
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| 作者姓名： | 张海沨 |
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| 作者单位： | 中国银监会浙江监管局合作处,杭州,310004 |
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| 摘 要： | 均值-方差套期保值是套期保值的主要方法之一。不连续资产价格的均值-方差套期保值策略通常是在利率为非随机的情况下获得的。本文考虑在随机利率下,资产价格为特殊半鞅的均值-方差套期保值问题。通过适当的概率测度变换,将具有随机利率的情形简化为非随机利率情形,再利用Galtchouk-Kunita-Watanabe分解,获得了资产价格为一般的特殊半鞅,具有随机利率的的均值-方差套期保值策略。
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| 关 键 词： | 均值-方差套期保值 特殊半鞅 Galtchouk-Kunita-Watanabe分解 方差最优鞅测度 |
| 文章编号： | 1005-3085（2007）06-0972-05 |
| 收稿时间： | 2005-12-29- |
| 修稿时间： | 2005-12-29 |
Mean-variance Hedging under Stochastic Interests |
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| ZHANG Hai-feng. Mean-variance Hedging under Stochastic Interests[J]. Chinese Journal of Engineering Mathematics, 2007, 24(6): 972-976 |
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| Authors: | ZHANG Hai-feng |
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| Abstract: | Mean-variance hedging is one of main methods for hedging. Mean-variance hedging strate-gies for general discontinuous asset prices are usually obtained under nonstochastic interst rate. In this paper,mean-variance hedging problem for asset prices which are special semimartingales is concerned under the stochastic interest rate. By proper measure transformation,the stochastic interest rate case is reduced to one with nonstochastic interest rate. Then,using the Galtchouk-Kunita-Watanabe decom-position we obtain mean-variance hedging strategies for asset prices which are special semimartingales with stochastic interest rate. |
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| Keywords: | mean-variance hedging special semimartingale Galtchouk-Kunita-Watanabe decomposi-tion variance-optimal martingale measure |
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