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研究了多维扩散模型幂效用函数的无差别定价和套期保值.通过动态规划方法得到了未定权益的无差别定价和套期保值策略.并证明了无差别定价与风险厌恶指数无关的.
This paper studies the undifferentiated pricing and hedging of power utility function in multidimensional diffusion model, and obtains the undifferentiated pricing and hedging strategy of undecided entitlement through the dynamic programming method, and proves that the undifferentiated pricing has nothing to do with the risk aversion index.