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Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect
Li, Qing1,2; Zhou, Yanli3; Zhao, Xinquan2; Ge, Xiangyu4
2016
Source PublicationMATHEMATICAL PROBLEMS IN ENGINEERING
ISSN1024-123X
Pages8
AbstractMany researchers have established various hedge models to get the optimal hedge ratio. However, most of the hedge models only discuss the discrete-time processes. In this paper, we construct the minimum variance model for the estimation of the optimal hedge ratio based on the stochastic differential equation. At the same time, also by considering memory effects, we establish the continuous-time hedge model with memory based on the fractional order stochastic differential equation driven by a fractional Brownian motion to estimate the optimal dynamic hedge ratio. In addition, we carry on the empirical analysis to examine the effectiveness of our proposed hedge models from both in-sample test and out-of-sample test.
DOI10.1155/2016/6817483
Language英语
Funding ProjectChinese National Social Science Foundation[10BJY104] ; China National Natural Science Foundation[11526193]
WOS Research AreaEngineering ; Mathematics
WOS SubjectEngineering, Multidisciplinary ; Mathematics, Interdisciplinary Applications
WOS IDWOS:000382629200001
PublisherHINDAWI PUBLISHING CORP
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/23529
Collection中国科学院数学与系统科学研究院
Corresponding AuthorZhou, Yanli; Ge, Xiangyu
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan 430073, Peoples R China
3.Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Peoples R China
4.Wuhan Technol & Business Univ, Wuhan 430065, Peoples R China
Recommended Citation
GB/T 7714
Li, Qing,Zhou, Yanli,Zhao, Xinquan,et al. Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect[J]. MATHEMATICAL PROBLEMS IN ENGINEERING,2016:8.
APA Li, Qing,Zhou, Yanli,Zhao, Xinquan,&Ge, Xiangyu.(2016).Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect.MATHEMATICAL PROBLEMS IN ENGINEERING,8.
MLA Li, Qing,et al."Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect".MATHEMATICAL PROBLEMS IN ENGINEERING (2016):8.
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