When the stock price follows the Levy process,the optimal hedging problem of the multiple mixed contingent is studied.By constructing backward stochastic differential equation and linear-quadratic(LQ)optimal control,the optimal hedging strategy is obtained,and the relationship is discussed between the mixed contingent claims and individual contingent claim under the optimal hedging strategy,that is to say the relationship is convexity.
【基金】
陕西省教育厅科研计划项目(2013JK0594)
【更新日期】
2017-02-28
【分类号】
F830.91
【正文快照】
引文格式:陈会,刘宣会,张琳.一类混合未定权益的套期保值问题[J].纺织高校基础科学学报,2016,29(4):465-470.CHEN Hui,LIU Xuanhui,ZHANG Lin.The problem about the hedging strategy of a mix contingent claim[J].Basic Sciences Journal of Textile Universities,2016,29(4
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