Optimal hedging strategy based on stochastic Lagrange method
Qiu-Xia Xu · Systems Engineering - Theory & Practice · 2010
Stochastic LQ control model is extended to the model of jump-diffusion process.The optimal control strategy can be obtained by stochastic Lagrange method,which is applied to the optimal hedging strategy in finance market.Finally,the optimal hedging strategy is obtained by stochastic Lagrange method.