杨建奇, 肖庆宪. 内部信息下的平方套期保值策略[J]. 应用概率统计, 2011, 27(3): 297-304.
引用本文: 杨建奇, 肖庆宪. 内部信息下的平方套期保值策略[J]. 应用概率统计, 2011, 27(3): 297-304.
Yang Jianqi, Xiao Qingxian. Quadratic Hedging Strategies under Inner Information[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(3): 297-304.
Citation: Yang Jianqi, Xiao Qingxian. Quadratic Hedging Strategies under Inner Information[J]. Chinese Journal of Applied Probability and Statistics, 2011, 27(3): 297-304.

内部信息下的平方套期保值策略

Quadratic Hedging Strategies under Inner Information

  • 摘要: 建立了内部信息市场模型, 提出并解决了内部信息投资者的平方最优套期保值问题. 首先利用初始滤波扩张方法给出了内部信息市场中风险资产的价格动态. 其次利用It\^o公式和Galtchouk-Kunita-Watanabe分解给出了最优策略的显式表示

     

    Abstract: A market model with inner information is constructed. The problem of quadratic hedging for investors with inner information is introduced and solved. First the dynamic of risky assets in the market with inner information is deduced using the initial enlarge filtration method. Second by It\^o formula and the decomposition of Galtchouk-Kunita-Watanabe the explicit optimal strategy is given

     

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