Work

Variance optimal hedging for continuous time additive processes and applications

Year: 2013

Type: preprint

Abstract: For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive 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.1302.1965

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

Institutions: Laboratoire Analyse, Géométrie et Applications, Laboratoire de Finance des Marchés de l'Énergie

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Agence Nationale de la Recherche

OpenAlex ID: W2953390069

Cites: 25

Cited by: 1

Related to: 20