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.

Goutte, Stéphane. (2010-07-05). Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market [Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni]. Luiss Guido Carli. http://hdl.handle.net/11385/200842

Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market

2010

Abstract

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.
5-lug-2010
Variance-optimal hedging, Föllmer-Schweizer decomposition, Lévy process, Cumulative generating function, Characteristic function, Normal Inverse Gaussian process, Electricity markets, Process with independent increments.
Goutte, Stéphane. (2010-07-05). Variance Optimal Hedging in incomplete market for processes with independent increments and applications to electricity market [Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni]. Luiss Guido Carli. http://hdl.handle.net/11385/200842
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/200842
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