Variance optimal hedging for continuous time additive processes and applications-Reference-Cited by-同舟云学术

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Variance optimal hedging for continuous time additive processes and applications

Published:2013-03-18 Issue:1 Volume:86 Page:147-185
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Goutte Stéphane¹²,Oudjane Nadia¹³⁴,Russo Francesco⁵⁶

Affiliation:

1. Mathématiques LAGA, Institut Galilée, Université Paris 13, 99 Av. J.B. Clément, 93430, Villetaneuse, France

2. Luiss Guido Carli – Libera Università Internazionale degli Studi Sociali Guido Carli di Roma, Rome, Italy

3. EDF R&D, Clamart, France

4. FiME (Laboratoire de Finance des Marchés de l'Energie (Dauphine, CREST, EDF R&D)), France

5. ENSTA ParisTech, UMA, Unité de Mathématiques appliquées, 828, boulevard des Maréchaux, F-91120, Palaiseau, France

6. INRIA Rocquencourt and Cermics Ecole des Ponts, Projet MATHFI, Le Chesnay, France

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2013.774402

Reference39 articles.

1. Measuring the error of dynamic hedging: a Laplace transform approach

2. Some properties of the variance-optimal martingale measure for discontinuous semimartingales

3. An extension of mean-variance hedging to the discontinuous case

4. Processes of normal inverse Gaussian type

5. Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions

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