英文标题：
《Semi-Static and Sparse Variance-Optimal Hedging》
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作者：
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
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最新提交年份：
2017
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英文摘要：
We consider hedging of a contingent claim by a \'semi-static\' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance-optimality and provide tractable formulas using Fourier-integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semi-static hedging strategy, i.e. a strategy which only uses a small subset of available hedging assets. The developed methods are illustrated in an extended numerical example where we compute a sparse semi-static hedge for a variance swap using European options as static hedging assets.
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中文摘要：
我们考虑通过“半静态”策略对未定权益进行对冲，该策略由一项资产的动态头寸和其他资产的静态（买入并持有）头寸组成。在方差最优性准则下，我们给出了最优策略和套期保值误差的一般表示，并在赫斯顿模型的情况下，利用傅立叶积分给出了易于处理的公式。我们还考虑了最优选择稀疏半静态对冲策略的问题，即仅使用可用对冲资产的一小部分的策略。在一个扩展的数值示例中，我们使用欧式期权作为静态对冲资产，计算了方差掉期的稀疏半静态对冲。
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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