Title :
Quadratic Hedging for Special Contingent Claims
Author :
Yang, Jianqi ; Zhao, ShouJuan
Author_Institution :
Dept. of Math., Hunan Univ. of Sci. & Eng., Yongzhou, China
Abstract :
Consider a problem of hedging a special contingent claim which is the terminal value of a risk asset. A hedger can only use another asset whose returns are correlated with the risk asset. Under jump-diffusion model, several optimal trading strategies with mean-variance and quadratic objective are presented in closed form.
Keywords :
investment; stochastic processes; stock markets; jump-diffusion model; mean-variance; optimal trading strategy; quadratic hedging problem; quadratic objective; risk asset terminal value; special contingent claims; Differential equations; Finance; Hilbert space; Mathematical model; Operations research; Stochastic processes;
Conference_Titel :
Intelligent Systems and Applications (ISA), 2011 3rd International Workshop on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-9855-0
Electronic_ISBN :
978-1-4244-9857-4
DOI :
10.1109/ISA.2011.5873317
