Variance Optimal Hedging for continuous time processes with independent increments and applications
classification
💱 q-fin.CP
math.PRq-fin.PR
keywords
applicationshedgingincrementsindependentprocessvariancealgorithmallows
read the original abstract
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.