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.

Data and Resources

Additional Info

Field Value
Source ISSN: 1744-2508
Author Goutte, Stéphane, Oudjane, Nadia, Russo, Francesco
Maintainer CCSD
Last Updated May 14, 2026, 15:01 (UTC)
Created May 14, 2026, 15:01 (UTC)
Identifier hal-00786177
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire Analyse, Géométrie et Applications (LAGA) ; Université Paris 8 (UP8)-Université Paris 13 (UP13)-Institut Galilée-Centre National de la Recherche Scientifique (CNRS)
creator Goutte, Stéphane
date 2014-01-14T00:00:00
harvest_object_id 85063dc6-e223-4767-8da2-c4fc502c08d9
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-04-01T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1302.1965
set_spec type:ART