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

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.
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https://hal.inria.fr/inria-00437984
Contributor : Francesco Russo <>
Submitted on : Wednesday, December 2, 2009 - 7:51:52 AM
Last modification on : Thursday, September 5, 2019 - 4:49:29 PM
Long-term archiving on : Thursday, June 17, 2010 - 11:01:35 PM

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

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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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