| Autor: |
Kefan Liu, Jingyao Chen, Jichao Zhang, Xili Tan |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
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| Zdroj: |
Mathematical Problems in Engineering. |
| ISSN: |
1024-123X |
| DOI: |
10.1155/2022/3096866 |
| Popis: |
This paper considers an approach of Malliavin calculus to obtain the hedging ratio for mean-variance hedging (MVH) strategy under the stochastic volatility model with pure jump Lévy process (SVJ). Specifically speaking, there exists a correspondence between the martingale representation theorem and the Clark-Ocone formula for a square integrable contingent claim. Therefore, we can replace the diffusion term coefficients with the functions containing Malliavin derivatives to get a closed-form representation for the MVH strategy. By fast Fourier transform (FFT) algorithm, some numerical examples are performed to analyze the sensitivity of MVH strategy concerning strike price and current time. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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