英文标题：
《Efficient hedging in general Black-Scholes model》
---
作者：
Kyong-Hui Kim and Myong-Guk Sin
---
最新提交年份：
2014
---
英文摘要：
  An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient hedging for European call option was considered in the standard Black-Scholes model with constant drift and volatility coefficients. In this paper we considered the efficient hedging for European call option in general Black-Scholes model $dX_t=X_t(m(t)dt+\\sigma (t)dw(t))$ with time-varying drift and volatility coefficients and in fractional Black-Scholes model $dX_t=X_t(\\sigma B_H(t)+mdt)$ with constant coefficients.
---
中文摘要：
面临未定权益的投资者可能会通过完美对冲来消除风险，但由于其成本通常相当高，因此他会寻求需要较少资本并降低风险的部分对冲（分位数对冲或有效对冲）。在具有常数漂移和波动系数的标准Black-Scholes模型中，考虑了欧式看涨期权的有效套期保值。本文研究了具有时变漂移和波动系数的一般Black-Scholes模型$dX_t=X_t（m（t）dt+\\sigma（t）dw（t））$和具有常系数的分数Black-Scholes模型$dX_t=X_t（\\sigma B_H（t）+mdt）$中欧式看涨期权的有效套期保值。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->