连续时间加性过程和应用的方差最优对冲

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes 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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.