文章基本信息

标题：An Explicit Expression to the Locally R-minimizing Hedge of a European Call in the Hull and White Model
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作者：Zhaojun Yang ; Christian-Oliver Ewald ; Klaus Reiner Schenk-Hoppé 等
期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2010
卷号：4
期号：1
页码：1-18
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：This article provides a proof by using only basic probabilistic metho ds that the Delta hedge underthe minimal martingale measure coincides with the lo cally R-minimizing hedge in the Hull and Whitemodel. An explicit expression for the hedge is derived