Variance optimal hedging for continuous time additive processes and applications
AbstractFor 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.1965.
Date of creation: Feb 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
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