摘要
在交易资产服从O-U(Ornstein-Uhlenbeck)过程模型的假设下,研究指数效用函数的无差别定价和套期保值问题.利用动态规划方法得到了效用无差别定价满足的偏微分方程,同时得到对应的套期保值策略.
Under the assumption that the traded asset follows the O-U processes model,this paper presents utility indifference pricing and hedging of the exponential utility function.By dynamic programming approach,a partial differential equation of the utility indifference pricing is obtained,and corresponding hedging strategy is constructed.
出处
《扬州大学学报（自然科学版）》
CAS
CSCD
北大核心
2011年第4期15-17,共3页
Journal of Yangzhou University：Natural Science Edition
基金
河南省教育厅软科学基金资助项目(2009A630026)
