Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山)
Adaptive Mean-Variance Hedging of Bond Options with Stochastic Risk Term
Shin Ichi AIHARAArunabha BAGCHI
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2011 年 2011 巻 p. 134-139

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抄録
We consider the adaptive mean-variance hedging problem for pricing bond options . The model considered contains infinite-dimensional noise sources with the stochastically-varying risk premium. Hence our model becomes incomplete. After constructing the adaptive estimation algorithm for risk premium and systems parameters, we study the adaptive mean-variance hedging problem under the real world measure and obtain an explicit form of the optimal hedging strategy.
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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