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Journal Articles Stochastics: An International Journal of Probability and Stochastic Processes Year : 2014

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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Dates and versions

hal-00786177 , version 1 (08-02-2013)

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Stéphane Goutte, Nadia Oudjane, Francesco Russo. Variance optimal hedging for continuous time additive processes and applications. Stochastics: An International Journal of Probability and Stochastic Processes, 2014, 81 (1), pp.147--185. ⟨10.1080/17442508.2013.774402⟩. ⟨hal-00786177⟩
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