连续时间加性过程和应用的方差最优对冲

Pub Date : 2013-02-08 DOI:10.1080/17442508.2013.774402
Stéphane Goutte, N. Oudjane, F. Russo
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引用次数: 27

摘要

对于一大类香草或有权利要求,我们建立了一个显式Föllmer-Schweizer分解,当基础是一个指数的一个加性过程。这允许为解决均值方差对冲问题提供一个有效的算法。应用于从电力市场推导出的模型。
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Variance optimal hedging for continuous time additive processes and applications
For a large class of vanilla contingent claims, we establish an explicit Föllmer–Schweizer decomposition when the underlying is an exponential of an additive 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.
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