内部信息下的平方套期保值策略

摘要

A market model with inner information is constructed. The problem of quadratic hedging for investors with inner information is introduced and solved. First the dynamic of risky assets in the market with inner information is deduced using the initial enlarge filtration method. Second by It(o) formula and the decomposition of Galtchouk-Kunita-Watanabe the explicit optimal strategy is given.%建立了内部信息市场模型,提出并解决了内部信息投资者的平方最优套期保值问题.首先利用初始滤波扩张方法给出了内部信息市场中风险资产的价格动态.其次利用Ito公式和Galtchouk-Kunita-Watanabe分解给出了最优策略的显式表示.