Variance optimal hedging for continuous time additive processes and applications (Q2875261)

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Variance optimal hedging for continuous time additive processes and applications
scientific article

    Statements

    title
    Variance optimal hedging for continuous time additive processes and applications (English)
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    author
    Stéphane Goutte
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    Nadia Oudjane
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    Francesco Russo
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    published in
    Stochastics
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    publication date
    14 August 2014
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    zbMATH Keywords
    Lévy processes
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    additive processes
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    variance-optimal hedging
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    Föllmer-Schweizer decomposition
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    electricity markets
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    cites work
    Quantile hedging
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    Q3974816
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    Q5635152
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    Q4435813
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    Q4486401
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    Q4340161
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    Q2771116
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    Identifiers

    Mathematics Subject Classification ID
    60G51
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    60J25
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    60J75
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    60H05
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    91G10
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    91G80
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    zbMATH DE Number
    6330194
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    OpenAlex ID
    W2074269207
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    arXiv ID
    1302.1965
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