For a large class of vanilla contingent claims, we establish an explicit Föllmer-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.
Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market
Stéphane, Goutte
2010
Abstract
For a large class of vanilla contingent claims, we establish an explicit Föllmer-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.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14242/118490
Il codice NBN di questa tesi è
URN:NBN:IT:LUISS-118490