Variance optimal hedging for continuous time additive processes and applications

DOI10.1080/17442508.2013.774402zbMath1306.60047arXiv1302.1965OpenAlexW2074269207MaRDI QIDQ2875261

Francesco Russo, Stéphane Goutte, Nadia Oudjane

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.1965

zbMATH Keywords

Lévy processesadditive processeselectricity marketsvariance-optimal hedgingFöllmer-Schweizer decomposition

Mathematics Subject Classification ID

Related Items (10)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus ⋮ Pricing and hedging Asian-style options on energy ⋮ Unnamed Item ⋮ On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ Non-parametric Pricing and Hedging of Exotic Derivatives ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Variance-optimal hedging for processes with stationary independent increments
• Approximating random variables by stochastic integrals
• Processes of normal inverse Gaussian type
• An extension of mean-variance hedging to the discontinuous case
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Approximation pricing and the variance-optimal martingale measure
• Quantile hedging
• On the structure of general mean-variance hedging strategies
• Time-inhomogeneous affine processes
• Some properties of the variance-optimal martingale measure for discontinuous semimartingales
• Analysis of Fourier Transform Valuation Formulas and Applications
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Measuring the error of dynamic hedging: a Laplace transform approach
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• On Quadratic Cost Criteria for Option Hedging
• Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Financial Modelling with Jump Processes
• Variance-Optimal Hedging in Discrete Time
• On the minimal martingale measure and the möllmer-schweizer decomposition
• The Variance Gamma Process and Option Pricing
• On the performance of delta hedging strategies in exponential Lévy models

This page was built for publication: Variance optimal hedging for continuous time additive processes and applications