基于均值-方差准则下的套期保值问题研究

摘要

As the significant information occurs , the stock price has discontinuous jump .This paper extended the mean-variance hedging problem to the jump-diffusion model .Some BS-DEs were introduced , the optimal control can be obtained .Through the solutions of those BSDEs , obtained the optimal hedging strategy of the mean-variance hedging problem .%当有重大信息出现时，股票价格会呈现不连续的跳跃，在股票价格服从跳-扩散过程时，研究了均值-方差准则下的套期保值问题。运用倒向随机微分方程及随机控制理论得到了均值-方差准则下的最优套期保值策略。