随机波动率模型的效用无差别定价和套期保值策略  

Utility indifference pricing and hedging to stochastic volatility model

作　　者：闫海峰[1] 刘利敏[2] 杨建奇[3] 

机构地区：[1]南京财经大学金融学院保险系,江苏南京210046 [2]河南师范大学数学与信息科学学院,河南新乡453002 [3]上海理工大学管理学院,上海200093

出　　处：《系统工程学报》2007年第4期379-385,共7页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70471071);江苏省教育厅高校哲学社会科学基金资助项目(05SJD790056)

摘　　要：研究了随机波动率模型的指数效用无差别定价和套期保值策略选择问题.首先考虑了随机波动率模型的反应扩散系统,并利用鞅方法构造了含有未定权益的最优投资问题的最优策略和最优鞅测度.然后利用最优投资和无差别定价的关系,得到了效用无差别定价满足的偏微分方程和套期保值策略.This paper deals with the exponential utility indifference pricing problem to stochastic volatility model. The reaction-diffusion systems of this model are considered. The martingale approach can be used to construct the optimal strategy and martingale measure of optimal investment problem with contingent claim. The partial differential equation satisfied the utility indifference pricing and hedging strategy are obtained by using the relation of indifference pricing and the optimal investment problem.

关 键 词：反应扩散系统 效用无差别定价 效用无差别套期保值策略 

分 类 号：F830.9[经济管理—金融学] O211.6[理学—概率论与数理统计]