HEDGING

作品数：68被引量：60H指数：5
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相关机构：中国农业大学清华大学广东外语外贸大学华东师范大学更多>>
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PRICING AND HEDGING PROBLEM OF FOREIGN CURRENCY OPTION WITH HIGHER BORROWING RATE
《Journal of Systems Science & Complexity》2013年第3期407-418,共12页CHEN Li HUANG Zongyuan WU Zhen 
supported by the National Nature Science Foundation of China(11221061,61174092,11126214,11126208);the National Science Fund for Distinguished Young Scholars of China(11125102);the Fundamental Research Funds for the Central Universities(2010QS05)
The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential e...
关键词：Backward stochastic differential equation Malliavin calculus portfolio strategy pricing. 
FROM HEDGING TO SPECULATION-AN EXPLANATION BASED ON PROSPECT THEORY被引量：1
《Journal of Systems Science & Complexity》2008年第3期394-405,共12页Qingwei LIU Yi LI Shouyang WANG 
This research is supported by the National Natural Science Foundation under Grant No.70221001
This paper studies the impact of the reference point on a hedger＇s decision based upon prospect theory and experimental evidence on how prior outcomes affect risky choice. The authors show that in the futures market,...
关键词：HEDGING loss aversion prospect theory reference point 
CLAIM HEDGING IN AN INCOMPLETE MARKET
《Journal of Systems Science & Complexity》2005年第2期193-201,共9页SUNWangui WANGChunfeng 
This work is supported in part by National Science Fund for Distinguished Young Scholar No. 70225002.
In this paper, we compare the performance of the optimal attainable payoffs (of a general claim) derived by the variance-optimal approach and the indifference argument under the mean-variance preference in an incomple...
关键词：incomplete market variance-optimal approach indifference argument  generalclaims partial information 
EXPLICIT EXPRESSIONS FOR THE VALUATION AND HEDGING OF THE ARITHMETIC ASIAN OPTION被引量：9
《Journal of Systems Science & Complexity》2003年第4期557-561,共5页YANGZhaojun HUANGLihong MAChaoaun 
Project Supported by Scientific Research Fund of Hunan Provincial Education Department (No. 01B031)
On the basis of a result in Yor (1992), this paper gives explicit expressions for the valuation and hedging of the arithmetic Asian option.
关键词：arithmetic asian option valuation and hedging explicit solution 
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