Variance-optimal hedging for processes with stationary independent increments

DOI10.1214/105051606000000178zbMath1189.91206arXivmath/0607112OpenAlexW3100763845MaRDI QIDQ997954

Friedrich Hubalek, Leszek Krawczyk, Jan Kallsen

Publication date: 8 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607112

zbMATH Keywords

Laplace transform Lévy processes variance-optimal hedging Föllmer-Schweizer decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Stochastic integrals (60H05)

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Cites Work

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