分数布朗运动下离散德尔塔对冲误差研究
首发时间:2009-06-01
摘要:文章讨论了分数布朗运动下德尔塔对冲的误差问题。在布莱克—休斯模型中对冲普遍被假设为连续发生的,当应用于离散的交易时,对冲误差就产生了。考虑到对冲误差,得出一种离散条件下标的资产服从分数布朗运动的修正的布莱克—休斯方程以及依赖再对冲区间长度和时间的德尔塔值。
For information in English, please click here
Discrete-time delta hedging on Fractional Brownian Motion
Abstract:The paper deals with the problem of discrete–time delta hedging on Fractional Brownian Motion. Since in the Black–Scholes model the hedging is continuous, hedging errors appear when applied to discrete trading. The hedging error is considered and a discrete-time adjusted Black–Scholes equation on Fractional Brownian Motion is derived and the delta values dependent on the length of the rebalancing intervals and the time can be obtained.
Keywords: Fractional Brownian Motion Discrete-time Delta hedging Hedging error
基金:
论文图表:
引用
No.3272345522112438****
同行评议
共计0人参与
勘误表
分数布朗运动下离散德尔塔对冲误差研究
评论
全部评论0/1000