Variance Optimal Hedging for continuous time processes with independent increments and applications
From MaRDI portal
Abstract: For a large class of vanilla contingent claims, we establish an explicit F"ollmer-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.
This page was built for publication: Variance Optimal Hedging for continuous time processes with independent increments and applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6216557)