Variance optimal hedging for continuous time additive processes and applications
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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