On Exponential Hedging and Related Quadratic Backward Stochastic Differential Equations

被引：0
|
作者：
Jun Sekine
机构：
[1] Institute of Economic Research,
[2] Kyoto University,undefined
[3] Yoshida-Honmachi,undefined
[4] Sakyo-ku,undefined
[5] Kyoto 606-8501,undefined
来源：
Applied Mathematics and Optimization | 2006年 / 54卷
关键词：
Stochastic Differential Equation; Hedging Strategy; Wiener Space; Cone Constraint; Admissible Strategy;
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学科分类号：
摘要：
The dual optimization problem for the exponential hedging problem is addressed with a cone constraint. Without boundedness conditions on the terminal payoff and the drift of the Ito-type controlled process, the backward stochastic differential equation, which has a quadratic growth term in the drift, is derived as a necessary and sufficient condition for optimality via a variational method and dynamic programming. Further, solvable situations are given, in which the value and the optimizer are expressed in closed forms with the help of the Clark-Haussmann-Ocone formula.
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页码：131 / 158
页数：27
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