部分信息下股价带跳的套期保值问题研究  

Researche on Problem of Hedging for Price of Stock with Jump-diffusion Processes Under Partial Information

作　　者：张琳[1] 刘宣会[1] 陈会[1] 

机构地区：[1]西安工程大学理学院

出　　处：《四川理工学院学报（自然科学版）》2016年第2期85-89,共5页Journal of Sichuan University of Science & Engineering(Natural Science Edition)

基　　金：国家自然科学基金青年项目(11501434)

摘　　要：在有重大事件出现时,股价会出现不连续的跳跃,这时一般将股票价格考虑为带有Markov调制参数的跳-扩散模型。为了追求风险最小化或收益最大化,建立了部分信息下的跳-扩散模型(考虑到几何布朗运动已经无法准确的刻画股价的波动),在股票价格服从跳-扩散过程时,通过运用非线性滤波技术,将部分信息的问题转化为完全信息的问题,并采用随机微分对策的思想,在均值-方差的准则下,运用It?公式,得到最优套期保值策略的显示解。When an important things occurs,the stock price will be discontinuous jumps and generally be considered as jump-diffusion model with Markov modulation Parameter. To minimize risk and maximize revenue,the part of the information under the jump diffusion model to be seted up（ Taking into account the geometric Brown movement has been unable to accurately portray the volatility of the stock price）. When the stock price follows the jump diffusion process,using nonlinear filtering technique,transforming partial information into complete information,under the mean variance criterion by adopting the idea of stochastic differential game,by using Ito formula,display solution of optimal hedging strategy is obtained.

关 键 词：跳-扩散过程 随机微分对策 套期保值 ITO公式 

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