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.
|Titolo:||Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market|
|Data di pubblicazione:||5-lug-2010|
|Appare nelle tipologie:||06.2 - Tesi di dottorato 2008-2019 (Doctoral Thesis 2008-2019)|