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Pré-Publication, Document De Travail Année : 2009

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

Résumé

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.
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Dates et versions

inria-00437984 , version 1 (02-12-2009)

Identifiants

  • HAL Id : inria-00437984 , version 1
  • ARXIV : 0912.0372

Citer

Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance Optimal Hedging for continuous time processes with independent increments and applications. 2009. ⟨inria-00437984⟩
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