鞅定价
鞅(概率论)
资本资产定价模型
财务
投资理论
金融市场
不完全市场
风险中性措施
期权估价
不完美的
财务建模
文件夹
经济
数学
数理经济学
计量经济学
应用数学
鞅差序列
微观经济学
语言学
哲学
作者
Limin Tao,Liping Xu,Hani Jamal Sulaimani
标识
DOI:10.2478/amns.2021.2.00070
摘要
Abstract The pricing and hedging of financial derivatives have become one of the hot research issues in mathematical finance today. In the case of non-risk neutrality, this article uses the martingale method and probability measurement method to study the pricing method and hedging strategy of financial derivatives. This paper also further studies the hedging strategy of financial derivatives in the incomplete market based on the BSM model and converts the solution of this problem into solving a vector on the Hilbert space to its closure. The problem of space projection is to use projection theory to decompose financial derivatives under a given martingale measure. In the imperfect market, the vertical projection theory is used to obtain the approximate pricing method and hedging strategy of financial derivatives in which the underlying asset follows the martingale process; the projection theory is further expanded, and the pricing problem of financial derivatives under the mixed-asset portfolio is obtained. Approximate pricing of financial derivatives; in the discrete state, the hedging investment strategy of financial derivatives H in the imperfect market is found through the method of variance approximation.
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