The nonlinear H∞ control strategy of option hedging

被引：0
|
作者：
Zhong, MY [1 ]
Huang, XY [1 ]
机构：
[1] NE Univ Technol, Fac Business Adm, Shenyang 110006, Peoples R China
来源：
98 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, PROCEEDINGS | 1998年
关键词：
option pricing; hedging; discrete-time differential game; nonlinear H-infinity control;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper studied the option hedging problem and proposed the discrete-time model. Finally, based on the nonlinear H-infinity control theory and discrete-time differential game approach, the dynamic state feedback hedging strategy is obtained.
引用
收藏
页码：186 / 191
页数：4
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