Variance optimal hedging for continuous time additive processes and applications

DOI10.1080/17442508.2013.774402zbMath1306.60047arXiv1302.1965OpenAlexW2074269207MaRDI QIDQ2875261

Francesco Russo, Stéphane Goutte, Nadia Oudjane

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1965

zbMATH Keywords

Lévy processesadditive processeselectricity marketsvariance-optimal hedgingFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Stochastic integrals (60H05) Portfolio theory (91G10)

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