AbstractIn this article, we conside

抽象<br>在本文中，我们考虑了基础风险模型中的指数对冲和均值方差对冲。我们为索赔的多个单位构建对冲策略，并计算对冲误差。然后，我们观察到当投资者增加索赔的交易量时，对冲误差风险将如何增加。在我们对冲误差风险金额的定义下，风险根据平均方差对冲的索赔额以线性方式增加。至于指数对冲，它不是非线性增量。但是，当规避风险的参数或索赔量为零时，指数套期的套期误差往往具有与均值方差套期相同的属性。我们用数字证明了这一事实。

Abstract<br>In this article, we consider the exponential hedging and the mean-variance hedging in the basis-risk model. We construct hedging strategies for multiple units of claim and calculate hedging errors. We then observe how the hedge error risk increases when the investor raises trading volumes of the claim. Under our definition of the hedge error risk amount, the risk increases in a linear way, according to the claim volume for the mean-variance hedging. As to the exponential hedging, it does not, i.e., nonlinear increment. The hedging error for the exponential hedging, however, tends to have the same properties to the mean-variance hedging when either risk-averse parameter or claim volume goes to zero. We numerically demonstrate this fact. Our numerical demonstration with the results of the previous researches verifies that the indifference price converges to the mean-variance hedging cost when the claim volume goes to zero under the basis-risk model.

摘要<br>本文考虑了基差风险模型中的指数套期保值和均值方差套期保值。构造了多个索赔单元的套期保值策略，并计算了套期保值误差。然后，我们观察当投资者提高索赔的交易量时，对冲错误风险是如何增加的。在我们定义的套期错误风险金额下，风险根据均值-方差套期的索赔量以线性方式增加。对于指数套期保值，它不是非线性增量。然而，当风险规避参数或索赔额为零时，指数型套期保值的套期误差往往与均值-方差套期保值具有相同的性质。我们用数字来证明这个事实。数值模拟结果表明，在基本风险模型下，当索赔额为零时，无差异价格收敛于平均方差套期保值成本。