Variance-Optimal Hedging for the Process Based on Non-Extensive Statistical Mechanics and Poisson Jumps

• Authors: Pan Zhao , Qingxian Xiao
• Languages of publication: EN

Abstracts

EN

In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.

Keywords

EN

89.65.Gh

Discipline

• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2016
• Volume: 129
• Issue: 6
• Pages: 1252-1256

Dates

published

2016-06

received

2015-12-30

(unknown)

2016-03-28

(unknown)

2016-04-04

Contributors

author

Pan Zhao

• Business School, University of Shanghai for Science and Technology, Shanghai, China
• College of Finance and Mathematics, West Anhui University, Lu'an, Anhui, China
• Financial Risk Intelligent Control and Prevention Institute of West Anhui University, Lu'an, Anhui, China

author

Qingxian Xiao

• Business School, University of Shanghai for Science and Technology, Shanghai, China

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Identifiers

DOI

10.12693/APhysPolA.129.1252