Variance optimal hedging for continuous time additive processes and applications
Pricing of Securities
2013-02-11 v1 Probability
Abstract
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-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.
Cite
@article{arxiv.1302.1965,
title = {Variance optimal hedging for continuous time additive processes and applications},
author = {Stéphane Goutte and Nadia Oudjane and Francesco Russo},
journal= {arXiv preprint arXiv:1302.1965},
year = {2013}
}