• DocumentCode
    3520098
  • Title

    Quadratic Hedging for Special Contingent Claims

  • Author

    Yang, Jianqi ; Zhao, ShouJuan

  • Author_Institution
    Dept. of Math., Hunan Univ. of Sci. & Eng., Yongzhou, China
  • fYear
    2011
  • fDate
    28-29 May 2011
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    Consider a problem of hedging a special contingent claim which is the terminal value of a risk asset. A hedger can only use another asset whose returns are correlated with the risk asset. Under jump-diffusion model, several optimal trading strategies with mean-variance and quadratic objective are presented in closed form.
  • Keywords
    investment; stochastic processes; stock markets; jump-diffusion model; mean-variance; optimal trading strategy; quadratic hedging problem; quadratic objective; risk asset terminal value; special contingent claims; Differential equations; Finance; Hilbert space; Mathematical model; Operations research; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Intelligent Systems and Applications (ISA), 2011 3rd International Workshop on
  • Conference_Location
    Wuhan
  • Print_ISBN
    978-1-4244-9855-0
  • Electronic_ISBN
    978-1-4244-9857-4
  • Type

    conf

  • DOI
    10.1109/ISA.2011.5873317
  • Filename
    5873317
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3520098