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主要研究变系数Black-Scholes模型股票期权的最优对冲策略问题。基于波动率函数的非参数估计,利用Girsanov定理,得到了股票欧式看涨期权最优对冲策略的计算公式,证明了所得最优对冲策略的强收敛性,并通过模拟研究展示了最优对冲策略的有效性。
The main research is the optimal hedging strategy of stock option with variable coefficient Black-Scholes model. Based on Girsanov’s theorem, the formula of the optimal hedging strategy for European call option is given based on the non-parametric estimation of the volatility function. The convergence of the optimal hedging strategy is proved by the Girsanov’s theorem. The optimal hedging strategy Effectiveness.