OPTIMAL CONTINUOUS-TIME HEDGING WITH LEPTOKURTIC RETURNS
نویسندگان
چکیده
منابع مشابه
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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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2007
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2007.00299.x