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delta hedging
相关语句
  delta套期保值
     When the volatility is a deterministic function of time, the strategy coincides with Black Scholes's delta hedging.
     当方差为时间的确定性函数时 ,最优动态套期保值策略与用 Black- Scholes套期比表示的 delta套期保值策略是一致的
短句来源
  相似匹配句对
     THE FAULT DELTA
     断块型三角洲
短句来源
     (4)delta ;
     (4)三角洲;
短句来源
     When the volatility is a deterministic function of time, the strategy coincides with Black Scholes's delta hedging.
     当方差为时间的确定性函数时 ,最优动态套期保值策略与用 Black- Scholes套期比表示的 delta套期保值策略是一致的
短句来源
     The hedging strategy was studied.
     本文对套期保值策略进行了研究。
短句来源
     On Rolling Strategy of Hedging
     展期套期保值策略研究
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  delta hedging
Delta Hedging bei stochastischer Volatilit?t in diskreter Zeit
      
We justify this implementation by showing that these adhoc adjustments to the Black-Scholes model provide a reasonable approximation to valuation and delta hedging in our new option pricing model.
      
For the pricing of contingent claims, partial differential equation (PDE) is derived in a special case under the typical delta hedging strategy.
      
Traditional delta hedging may subsequently be used to reduce any residual risk.
      
We present several variants of a robust risk management strategy based on minimax for the writer of a European call option on a stock and show that it performs at least as well as the standard hedging strategy, delta hedging.
      
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The dynamic hedging problem for European options is studied by applying stochastic differential game method, under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility. The stochastic differential game model for the self financing hedging strategy is estabilished. A dynamic hedging portfolio that yields the minimum mean square replication error is given. When the volatility is a deterministic function of time, the...

The dynamic hedging problem for European options is studied by applying stochastic differential game method, under the assumption of incomplete market where the underlying assets prices follow geometric Brownian motion with stochastic volatility. The stochastic differential game model for the self financing hedging strategy is estabilished. A dynamic hedging portfolio that yields the minimum mean square replication error is given. When the volatility is a deterministic function of time, the strategy coincides with Black Scholes's delta hedging.

在标的资产价格服从带有随机方差几何布朗运动的非完全市场假设条件下 ,应用随机微分对策方法 ,研究与标的资产有关的欧式期权的动态套期保值策略问题。建立了最优动态套期保值策略的随机微分对策数学模型 ,给出了基于鲁棒控制的均方复制误差最小的自融资动态套期保值策略。当方差为时间的确定性函数时 ,最优动态套期保值策略与用 Black- Scholes套期比表示的 delta套期保值策略是一致的

By using basic building blocks of derivatives theory:delta hedging and no arbitrage,this paper studies the price of Asian options with constant average duration which is differ from plain vanilla ones and the underlying assets(temperature)are assumed to be driven by fractional Ornstein-Uhlenbeck process which is reasonable for weather derivatives.Dynamic pricing equation is obtained.

本文运用衍生证券理论的最基本原理(△对冲和无套利原理) ,研究了一种新型亚式期权的定价问题,该类型期权因具有常数平均值久期而不同于标准化情形.假设标的资产(气温)由分数Ornstein-Uhlenbeck过程驱动,这样假设对天气衍生品来说是合理的.本文得到了这种新型亚式期权的动态定价方程.

 
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