Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation
Static Hedging with Uncertain Quantity and Departure from the Cost-of-Carry Valuation作者机构：Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100080 China School of Management Graduate School of Chinese Academy of Sciences Beijing 100049 China
出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)
年 卷 期：2006年第22卷第1期
页 面：127-136页
核心收录：
学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学]
基 金：Supported by the National Natural Science Foundation of China(No.70221001)
主 题：Cost of Carry static hedging hedge ratio hedging time
摘 要：In this paper, we are concerned with the optimal hedge ratio under quantity risk as well as discrepancies between the futures market price and its theoretical valuation according to the cost- of-carry model. Assuming a geometric Brownian motion for forecasting process, we model mispricing as a specific noise corn poncnt in the dynamics of filturcs market prices, based on which the optimal hedging strategy is calculated. Finally, we illustrate optimal strategy and its properties by numerical examples.
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