Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics

Entropy

卷:20

Pan Zhao¹  Benda Zhou¹  Jian Pan²  Yu Song³  Jixia Wang⁴ 

[1] College of Finance and Mathematics, West Anhui University, Lu’an 237012, China;

[2] College of Mathematics and Computer Science, Gannan Normal University, Ganzhou 341000, China;

[3] School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China;

[4] School of Mathematics and Information Sciences, Henan Normal University, Xinxiang 453002, China;

关键词: non-extensive statistics;    hedging;    risk-minimizing approach;    Föllmer–Schweizer decomposition;   

DOI  :  10.3390/e20040248

来源: DOAJ

【 摘 要 】

To describe the movement of asset prices accurately, we employ the non-extensive statistical mechanics and the semi-Markov process to establish an asset price model. The model can depict the peak and fat tail characteristics of returns and the regime-switching phenomenon of macroeconomic system. Moreover, we use the risk-minimizing method to study the hedging problem of contingent claims and obtain the explicit solutions of the optimal hedging strategies.

【 授权许可】

Unknown