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  • 标题:Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates
  • 本地全文:下载
  • 作者:Niloofar Ghorbani ; Andrzej Korzeniowski
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2020
  • 卷号:10
  • 期号:04
  • 页码:697-704
  • DOI:10.4236/jmf.2020.104040
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:We present a solution to the problem posed by Zhang et al. [1] regarding Call Option price CT under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for CT by expected value of the path-integral along a square functional of n-dimensional Ornstein-Uhlenbeck process is derived. The method is suitable for Monte-Carlo simulation and illustrated by an example.
  • 关键词:European Call Option;Linear Stock Investment Strategy;Cox-Ingersoll-Ross Model;Ornstein-Uhlenbeck Process;Numeraire and Martingale Measure
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