关键词: 动态套期保值, 最优套期保值策略, 倒推法, 跳-扩散过程

Abstract: When the underlying asset’s price follows a jump-diffusion process, we devise a dynamic hedging strategy to minimize the risk we may take. First, we use MCMC method, which covers the shortage of conventional parameter estimation methods, to estimate model’s parameters and get more appropriate parameter evaluations. Then, under the objective of risk-minimization, we consider strategies to replicate the terminal contingent claim backward through time and the optimal hedging strategy expression is explicitly acquired. According to the strategy expression, any investor may duly adjust his hedging portfolio and can achieve his purpose of hedging risk and saving cost. Finally, we elicit the relationship between the option’s time limit and strategy adjusting frequency. What’s more, demonstration shows our hedging model and method is effective and feasible.

Key words: dynamic-hedging, optimal hedging strategy, reverse inference method, jump-diffusion process