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Variance optimal hedging for continuous time additive processes and applications

Stéphane Goutte (), Nadia Oudjane and Francesco Russo
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Nadia Oudjane: FiME Lab
Francesco Russo: UMA

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Abstract: For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-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.

Date: 2013-02
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