- Tytuł:
- Variance-optimal hedging for the process based on non-extensive statistical mechanics and Poisson jumps
- Autorzy:
-
Zhao, Pan
Xiao, Qingxian - Powiązania:
- https://bibliotekanauki.pl/articles/1065051.pdf
- Data publikacji:
- 2016-06
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
- 89.65.Gh
- Opis:
- In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
- Źródło:
-
Acta Physica Polonica A; 2016, 129, 6; 1252-1256
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł