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;

D O I：

暂无

中图分类号：

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.

引用

页码：131 / 158

页数：27

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