Risk minimizing hedging for a partially observed high frequency data model
Risk minimizing hedging for a partially observed high frequency data model
复制标题
部分观察的高频数据模型的风险最小化对冲
DOI：
10.1080/17442500500488316
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Claudia Ceci
中科院分区：
文献类型：
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作者：
Claudia Ceci
在股票价格日内波动的一般模型中，研究了部分信息情况下未定权益的风险最小化套期保值策略。风险资产价格的动态过程被描述为一个标点过程Y，其局部特征依赖于一些不可观测的隐状态变量X。在模型中，过程Y和X可能有共同的跳跃时间，这意味着交易活动可能影响X的规律，也可能与灾难性事件的存在有关。套期保值者仅限于观察过去的资产价格。因此，我们面临的不仅是一个不完全的市场状况，而且是部分信息。考虑风险资产价格直接在鞅测度下建模的情形，利用投影结果（M. Schweizer，Risk minimizing hedging strategies under restricted information，Mathematical Finance 4（1994）327-342）.这种方法导致了一个过滤问题的标记点过程的意见，其解决方案，通过库什纳-Stratonovich方程，使我们能够提供一个完整的解决方案的heding问题。
Risk-minimizing hedging strategies for contingent claims are studied in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described throught a marked point process Y, whose local characteristics depend on some unobservable hidden state variable X. In the model presented the processes Y and X may have common jump times, which means that the trading activity may affect the law of X and could be also related to the presence of catastrophic events. The hedger is restricted to observing past asset prices. Thus, we are in presence not only of an incomplete market situation but also of partial information. Considering the case where the price of the risky asset is modeled directly under a martingale measure, the computation of the risk-minimizing hedging strategy under this partial information is obtained by using a projection result (M. Schweizer, Risk minimizing hedging strategies under restricted information, Mathematical Finance 4 (1994) 327–342). This approach leads to a filtering problem with marked point process observations whose solution, obtained via the Kushner-Stratonovich equation, allows us to provide a complete solution to the heding problem.