跳扩散模型下的平方套期保值

研究未定权益的平方套期保值问题。假定套期保值者仅可用与此未定权益相关的另一种风险资产来进行套期保值，通过巧妙地构造一个过程，利用投影定理，在跳扩散模型下给出了几种平方最优套期保值问题的闭式解。

Quadratic hedging with jump-diffusion models

The paper presents a problem of hedging a risky asset.Assuming that a hedger can only use another asset whose return is correlated with the risky asset,with jump-diffusion models,by constructing a process and utilizing projection theorem,the optimal trading strategies are proposed in closed form for several mean-variance and quadratic objectives.