Variance optimal hedging for continuous time additive processes and applications

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.
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https://hal.inria.fr/hal-00786177
Contributor : Francesco Russo <>
Submitted on : Friday, February 8, 2013 - 8:07:27 AM
Last modification on : Thursday, September 5, 2019 - 4:46:44 PM
Long-term archiving on : Thursday, May 9, 2013 - 3:53:07 AM

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  • HAL Id : hal-00786177, version 1
  • ARXIV : 1302.1965

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Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance optimal hedging for continuous time additive processes and applications. 2013. ⟨hal-00786177⟩

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