Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation  

作　　者：Qing-wei Liu Yi Li Shou-yang Wang 

机构地区：[1]Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences,Beijing 100080, China [2]School of Management, Graduate School of Chinese Academy of Sciences, Beijing 100049, China

出　　处：《Acta Mathematicae Applicatae Sinica》2006年第1期127-136,共10页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.70221001)

摘　　要：In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.

关 键 词：Cost of Carry static hedging hedge ratio hedging time 

分 类 号：O29[理学—应用数学]