Work

Variance Optimal Hedging for continuous time processes with independent increments and applications

Year: 2009

Type: preprint

Abstract: For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.0912.0372

Authors: Goutte, Stéphane, Oudjane, Nadia, Russo, Francesco

Institutions: Laboratoire Analyse, Géométrie et Applications, CERMICS

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2099179539

Cites: 40

Cited by: 3

Related to: 20