Variance optimal hedging for continuous time additive processes and applications

被引：12

作者：

Goutte, Stephane ^{[1
,2
]}

Oudjane, Nadia ^{[1
,3
,4
]}

Russo, Francesco ^{[5
,6
]}

机构：

[1] Univ Paris 13, Inst Galilee, Math LAGA, F-93430 Villetaneuse, France

[2] Luiss Guido Carli Libera Univ Int Sociali Guido C, Rome, Italy

[3] EDF R&D, Clamart, France

[4] EDF R&D, CREST, FiME Lab Finance Marches Energie, Paris, France

[5] ENSTA ParisTech, UMA, F-91120 Palaiseau, France

[6] INRIA Rocquencourt & Cerm Ecole Ponts, Projet MATHFI, Le Chesnay, France

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 01期

关键词：

variance-optimal hedging; Follmer-Schweizer decomposition; Levy's processes; electricity markets; processes with independent increments; additive processes; MARTINGALE MEASURE; REPRESENTATION;

D O I：

10.1080/17442508.2013.774402

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

For a large class of vanilla contingent claims, we establish an explicit Follmer-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.

引用

页码：147 / 185

页数：39

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