随机波动率模型下含违约风险的欧式衍生产品的套期保值
PDF下载 (337)黄鹏飞,王 伟*.随机波动率模型下含违约风险的欧式衍生产品的套期保值[J].宁波大学学报(理工版),2018,31(6):104-109.DOI:
HUANG Peng-fei,WANG Wei*.Hedging for European contingent claims with default risk based on a stochastic volatility model[J].Journal of Ningbo University(Natural Science & Engineering Edition),2018,31(6):104-109.DOI:
| Title: | Hedging for European contingent claims with default risk based on a stochastic volatility model |
| 作者: | 黄鹏飞, 王 伟* |
| Author(s): | HUANG Peng-fei, WANG Wei* |
| 关键词: | 违约风险; 局部风险最小化; 套期保值; 随机波动率 |
| Keywords: | default risk; local risk minimization; hedging; stochastic volatility |
| 分类号: | O211.9 |
| 文献标识码: | A |
| 摘要: | 研究了含违约风险的欧式未定权益的最优套期保值问题. 假定含违约风险衍生产品的标的资产满足Heston随机波动率模型, 则利用局部风险最小化方法获得含违约风险衍生产品的最优套期保值策略. 此外, 还考虑了在一个特别情况下, 研究了含违约风险的欧式看涨期权的最优套期保值问题, 并通过特征函数和傅里叶反演公式给出了明确的局部风险最小化套期保值策略. |
| Abstract: | An optimal hedging problem of the European contingent claims with default risk is probed in this work. The underlying asset of the European contingent claims with default risk is assumed to fit a Heston stochastic volatility model. Using the local risk minimization method, we obtain an explicit closed-form solution for the optimal hedging strategies of the European contingent claims with default risk. Further, we consider a special case, in which a problem of hedging for a European call option with default risk is considered. Explicit expressions for the local risk minimization hedging strategies are derived using the characteristic functions and Fourier inversion formula. |
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| 备注/Memo: | 收稿日期: 2017?09?21. 宁波大学学报（理工版）网址: http://journallg.nbu.edu.cn/ 基金项目: 教育部人文社科基金（15YJA910004, 18YJC910012）; 浙江省自然科学基金（LY17G010003）. 第一作者: 黄鹏飞（1992－）, 男, 湖北襄阳人, 在读硕士研究生, 主要研究方向: 金融数学. E-mail: hotop2015@163.com *通信作者: 王伟（1982－）, 男, 安徽安庆人, 博士/副教授, 主要研究方向: 金融数学. E-mail: wangwei2@nbu.edu.com 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/ |
