英文标题：
《Optimal Static Quadratic Hedging》
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作者：
Tim Leung, Matthew Lorig
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最新提交年份：
2015
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英文摘要：
We propose a flexible framework for hedging a contingent claim by holding static positions in vanilla European calls, puts, bonds, and forwards. A model-free expression is derived for the optimal static hedging strategy that minimizes the expected squared hedging error subject to a cost constraint. The optimal hedge involves computing a number of expectations that reflect the dependence among the contingent claim and the hedging assets. We provide a general method for approximating these expectations analytically in a general Markov diffusion market. To illustrate the versatility of our approach, we present several numerical examples, including hedging path-dependent options and options written on a correlated asset.
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中文摘要：
我们提出了一个灵活的框架，通过在普通的欧洲看涨期权、看跌期权、债券和远期期权中持有静态头寸来对冲或有权益。本文推导了一个无模型的最优静态套期保值策略表达式，该策略在成本约束下使期望的平方套期保值误差最小化。最佳套期保值涉及计算反映或有权益和套期保值资产之间依赖关系的若干预期。我们提供了一种在一般马尔可夫扩散市场中解析近似这些期望的一般方法。为了说明我们方法的多功能性，我们给出了几个数值例子，包括对冲路径相关期权和相关资产上的期权。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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