论文标题
在离散时间内随机权重的顺序主张的二次对冲
Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time
论文作者
论文摘要
我们研究了在离散时间内随机权重的一系列偶有主张的二次对冲问题。我们在递归表示中明确地获得了最佳的对冲策略，而无需在模型上施加非分类条件（ND）条件，并在对冲策略上进行方形可集成性。我们将一般结果与在随机范围内的对冲和二次意义上的公平定价联系起来。我们在ND条件失败的示例中说明了结果的重要性。
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND) condition on the model and square integrability on hedging strategies. We relate the general results to hedging under random horizon and fair pricing in the quadratic sense. We illustrate the significance of our results in an example in which the ND condition fails.
