Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

doi:10.1155/2016/6817483

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	Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect
	Li, Qing 1,2; Zhou, Yanli 3; Zhao, Xinquan 2; Ge, Xiangyu 4
	2016
发表期刊	MATHEMATICAL PROBLEMS IN ENGINEERING
ISSN	1024-123X
页码	8
摘要	Many 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.
DOI	10.1155/2016/6817483
语种	英语
资助项目	Chinese National Social Science Foundation[10BJY104] ; China National Natural Science Foundation[11526193]
WOS研究方向	Engineering ; Mathematics
WOS类目	Engineering, Multidisciplinary ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000382629200001
出版者	HINDAWI PUBLISHING CORP
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23529
专题	中国科学院数学与系统科学研究院
通讯作者	Zhou, Yanli; Ge, Xiangyu
作者单位	1.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
推荐引用方式 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.