文章基本信息

标题：Analysis of Hedging Profits Under Two Stock Pricing Models
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作者：Lingyan Cao ; Zheng-Feng Guo
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2011
卷号：1
期号：3
页码：120-124
DOI：10.4236/jmf.2011.13015
出版社：Scientific Research Publishing
摘要：In this paper, we employ two stock pricing models: a Black-Scholes (BS) model and a Variance Gamma (VG) model, and apply the maximum likelihood method (MLE) to estimate corresponding parameters in each model. With the estimated parameters, we conduct Monte Carlo simulations to simulate spot prices and deltas of the European call option at different time spots over different sample paths. We focus on calculating the deltas for the two models by the method of the in?nitesimal perturbation analysis (IPA). Then, we-nally, hedging profits under these two models are calculated and analyzed.
关键词：Likelihood Ratio; Variance Gamma; Geometric Brownian Motion; Delta Hedge