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Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

文献类型：期刊论文

作者Li, Qing1,2; Zhou, Yanli3; Zhao, Xinquan2; Ge, Xiangyu4
刊名MATHEMATICAL PROBLEMS IN ENGINEERING
出版日期2016
页码8
ISSN号1024-123X
DOI10.1155/2016/6817483
英文摘要Many researchers have established various hedge models to get the optimal hedge ratio. However, most of the hedge models only discuss the discrete-time processes. In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation. At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio. In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test.
资助项目Chinese National Social Science Foundation[10BJY104] ; China National Natural Science Foundation[11526193]
WOS研究方向Engineering ; Mathematics
语种英语
WOS记录号WOS:000382629200001
出版者HINDAWI PUBLISHING CORP
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/23528]  
专题中国科学院数学与系统科学研究院
通讯作者Zhou, Yanli; Ge, Xiangyu
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan 430073, Peoples R China
3.Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Peoples R China
4.Wuhan Technol & Business Univ, Wuhan 430065, Peoples R China
推荐引用方式
GB/T 7714		 Li, Qing,Zhou, Yanli,Zhao, Xinquan,et al. Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect[J]. MATHEMATICAL PROBLEMS IN ENGINEERING,2016:8.
APA Li, Qing,Zhou, Yanli,Zhao, Xinquan,&Ge, Xiangyu.(2016).Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect.MATHEMATICAL PROBLEMS IN ENGINEERING,8.
MLA Li, Qing,et al."Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect".MATHEMATICAL PROBLEMS IN ENGINEERING (2016):8.

入库方式： OAI收割

来源：数学与系统科学研究院

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