pith. sign in

arxiv: 1302.1965 · v1 · pith:TZ4YLACOnew · submitted 2013-02-08 · 💱 q-fin.PR · math.PR

Variance optimal hedging for continuous time additive processes and applications

classification 💱 q-fin.PR math.PR
keywords additiveapplicationshedgingvariancealgorithmallowsclaimsclass
0
0 comments X
read the original 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.

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.