或有债权套期保值的二次与非二次局部风险最小化比较

F. Abergel
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引用次数: 0

摘要

在本文中,我进一步研究了最近引入的一种利用非二次局部风险最小化来对冲不完全市场中衍生品的新方法。给出了一个结构结果,本质上表明了历史概率下的非二次风险最小化与等价隐定义概率下的二次局部风险最小化之间的等价性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims
In this note, I study further a new approach recently introduced for the hedging of derivatives in incomplete markets via non quadratic local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.
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